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Improving the accuracy: volatility modeling and forecasting using high-frequency data and the variational component
Kumar, Manish - In: Journal of industrial engineering and management : JIEM 3 (2010) 1, pp. 199-220
In this study, we predict the daily volatility of the S&P CNX NIFTY market index of India using the basic "heterogeneous autoregressive" (HAR) and its variant. In doing so, we estimated several HAR and Log form of HAR models using different regressor. The different regressors were obtained by...
Persistent link: https://www.econbiz.de/10011899155
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Forecasting variance using stochastic volatility and GARCH
Hansson, Björn A.; Hördahl, Peter - 1998
Persistent link: https://www.econbiz.de/10000981021
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Forecasting Australian inflation and an analysis of asset returns as inflation hedges
Alles, Lakshman; Horton, Dean - 1997
Persistent link: https://www.econbiz.de/10000981789
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A time varying parameter model to test for predictability and integration in stock markets of transition economies
Rockinger, Michael; Urga, Giovanni - 1998
Persistent link: https://www.econbiz.de/10000986989
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Analyse und Prognose von Zeitreihen mit neuronalen Netzen
Thiesing, Frank M. - 1998 - Als Ms. gedr
Persistent link: https://www.econbiz.de/10000991312
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Forecasting based on very small samples and additional non-sample information
Brännäs, Kurt; Hellström, Jörgen - 1998
Persistent link: https://www.econbiz.de/10000993162
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A nonlinear time series model of El Niño
Hall, Anthony D.; Skalin, Joakim; Teräsvirta, Timo - 1998
Persistent link: https://www.econbiz.de/10000994162
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Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model
Engle, Robert F.; Russell, Jeffrey R. - 1995
Persistent link: https://www.econbiz.de/10000929607
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Anwendungsmöglichkeiten chaostheoretischer Verfahren bei der Analyse ökonomischer Prozesse
Müller, Hansjörg - 1996
Persistent link: https://www.econbiz.de/10000940791
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Prognosefehler eines realen Konjunkturmodells für die Schweiz
Niepelt, Dirk - 1997
Persistent link: https://www.econbiz.de/10000965888