Autocorrelation in the global stochastic trend
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- Anatoly A. Peresetsky & Ruslan I. Yakubov, 2017.
"Autocorrelation in an unobservable global trend: does it help to forecast market returns?,"
International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 7(1/2), pages 152-169.
- Peresetsky, Anatoly & Yakubov, Ruslan, 2015. "Autocorrelation in an unobservable global trend: Does it help to forecast market returns?," MPRA Paper 64579, University Library of Munich, Germany.
- Григорьев Р.А., 2019. "Одновременные Эффекты Несинхронных Временных Рядов: Проблемы Var-Модели," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 55(2), pages 118-129, апрель.
- Grigoryeva, Lyudmila & Ortega, Juan-Pablo & Peresetsky, Anatoly, 2018.
"Volatility forecasting using global stochastic financial trends extracted from non-synchronous data,"
Econometrics and Statistics, Elsevier, vol. 5(C), pages 67-82.
- Grigoryeva, Lyudmila & Ortega, Juan-Pablo & Peresetsky, Anatoly, 2015. "Volatility forecasting using global stochastic financial trends extracted from non-synchronous data," MPRA Paper 64503, University Library of Munich, Germany.
- Pogorelova, Polina & Peresetsky, Anatoly, 2020. "Extracting the global stochastic trend from non-synchronous data on the volatility of financial indices," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 57, pages 53-71.
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More about this item
Keywords
financial market integration; stock market returns; global stochastic trend; state space model; Kalman filter; non-synchronous data; market returns forecast.;All these keywords.
JEL classification:
- C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
- F65 - International Economics - - Economic Impacts of Globalization - - - Finance
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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