High Frequency Data Frequency Domain Inference And Volatility Forecasting
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High Frequency Data Frequency Domain Inference And Volatility Forecasting
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Author : Jonathan H. Wright
language : en
Publisher:
Release Date : 1999
High Frequency Data Frequency Domain Inference And Volatility Forecasting written by Jonathan H. Wright and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Rate of return categories.
While it is clear that the volatility of asset returns is serially correlated, there is no general agreement as to the most appropriate parametric model for characterizing this temporal dependence. In this paper, we propose a simple way of modeling financial market volatility using high frequency data. The method avoids using a tight parametric model, by instead simply fitting a long autoregression to log-squared, squared or absolute high frequency returns. This can either be estimated by the usual time domain method, or alternatively the autoregressive coefficients can be backed out from the smoothed periodogram estimate of the spectrum of log-squared, squared or absolute returns. We show how this approach can be used to construct volatility forecasts, which compare favorably with some leading alternatives in an out-of-sample forecasting exercise.
Forecasting Volatility Using High Frequency Data
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Author : Peter Reinhard Hansen
language : en
Publisher:
Release Date : 2018
Forecasting Volatility Using High Frequency Data written by Peter Reinhard Hansen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
Handbook chapter on volatility forecasting using high-frequency data, with surveys of reduced-form volatility forecasts and model-based volatility forecasts.
Handbook Of Financial Time Series
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Author : Torben Gustav Andersen
language : en
Publisher: Springer Science & Business Media
Release Date : 2009-04-21
Handbook Of Financial Time Series written by Torben Gustav Andersen and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-04-21 with Business & Economics categories.
The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.
Time Series Forecasting Of Volatility Using High Frequency Data
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Author : Hai Kang Tan
language : en
Publisher:
Release Date : 2002
Time Series Forecasting Of Volatility Using High Frequency Data written by Hai Kang Tan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with categories.
Handbook Of Economic Forecasting
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Author : G. Elliott
language : en
Publisher: Elsevier
Release Date : 2006-07-14
Handbook Of Economic Forecasting written by G. Elliott and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-07-14 with Business & Economics categories.
Section headings in this handbook include: 'Forecasting Methodology; 'Forecasting Models'; 'Forecasting with Different Data Structures'; and 'Applications of Forecasting Methods.'.
Big Data
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Author : Kuan-Ching Li
language : en
Publisher: CRC Press
Release Date : 2015-02-23
Big Data written by Kuan-Ching Li and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-02-23 with Computers categories.
As today's organizations are capturing exponentially larger amounts of data than ever, now is the time for organizations to rethink how they digest that data. Through advanced algorithms and analytics techniques, organizations can harness this data, discover hidden patterns, and use the newly acquired knowledge to achieve competitive advantages.Pre
Stock Index Volatility Forecasting With High Frequency Data
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Author : Eugenie M. J. H. Hol
language : en
Publisher:
Release Date : 2002
Stock Index Volatility Forecasting With High Frequency Data written by Eugenie M. J. H. Hol and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with categories.
Handbook Of Volatility Models And Their Applications
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Author : Luc Bauwens
language : en
Publisher: John Wiley & Sons
Release Date : 2012-04-17
Handbook Of Volatility Models And Their Applications written by Luc Bauwens and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-04-17 with Business & Economics categories.
A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communications, spawning a great deal of research in empirical finance and time series econometrics. Providing an overview of the most recent advances, Handbook of Volatility Models and Their Applications explores key concepts and topics essential for modeling the volatility of financial time series, both univariate and multivariate, parametric and non-parametric, high-frequency and low-frequency. Featuring contributions from international experts in the field, the book features numerous examples and applications from real-world projects and cutting-edge research, showing step by step how to use various methods accurately and efficiently when assessing volatility rates. Following a comprehensive introduction to the topic, readers are provided with three distinct sections that unify the statistical and practical aspects of volatility: Autoregressive Conditional Heteroskedasticity and Stochastic Volatility presents ARCH and stochastic volatility models, with a focus on recent research topics including mean, volatility, and skewness spillovers in equity markets Other Models and Methods presents alternative approaches, such as multiplicative error models, nonparametric and semi-parametric models, and copula-based models of (co)volatilities Realized Volatility explores issues of the measurement of volatility by realized variances and covariances, guiding readers on how to successfully model and forecast these measures Handbook of Volatility Models and Their Applications is an essential reference for academics and practitioners in finance, business, and econometrics who work with volatility models in their everyday work. The book also serves as a supplement for courses on risk management and volatility at the upper-undergraduate and graduate levels.
Econometric Forecasting And High Frequency Data Analysis
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Author : Yiu-kuen Tse
language : en
Publisher: World Scientific
Release Date : 2008-03-04
Econometric Forecasting And High Frequency Data Analysis written by Yiu-kuen Tse and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-03-04 with Business & Economics categories.
This important book consists of surveys of high-frequency financial data analysis and econometric forecasting, written by pioneers in these areas including Nobel laureate Lawrence Klein. Some of the chapters were presented as tutorials to an audience in the Econometric Forecasting and High-Frequency Data Analysis Workshop at the Institute for Mathematical Science, National University of Singapore in May 2006. They will be of interest to researchers working in macroeconometrics as well as financial econometrics. Moreover, readers will find these chapters useful as a guide to the literature as well as suggestions for future research.
Essays On Estimation And Inference For Volatility With High Frequency Data
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Author : Ilze Kalnina
language : en
Publisher:
Release Date : 2009
Essays On Estimation And Inference For Volatility With High Frequency Data written by Ilze Kalnina and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Academic theses categories.