Volatility forecasting using global stochastic financial trends extracted from non-synchronous data
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- 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.
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More about this item
Keywordsmultivariate volatility modeling and forecasting; global stochastic trend; extended Kalman filter; CAPM; dynamic conditional correlations (DCC); non-synchronous data;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2015-05-30 (All new papers)
- NEP-ECM-2015-05-30 (Econometrics)
- NEP-ETS-2015-05-30 (Econometric Time Series)
- NEP-FOR-2015-05-30 (Forecasting)
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