Taming volatile high frequency data with long lag structure: An optimal filtering approach for forecasting
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More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2016-06-25 (All new papers)
- NEP-ECM-2016-06-25 (Econometrics)
- NEP-ETS-2016-06-25 (Econometric Time Series)
- NEP-FOR-2016-06-25 (Forecasting)
- NEP-NET-2016-06-25 (Network Economics)
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