Forecasting financial market volatility using a dynamic topic model

DOI10.1007/S10690-017-9228-ZzbMath1407.62391OpenAlexW3122797939MaRDI QIDQ1627814

Takayuki Morimoto, Yoshinori Kawasaki

Publication date: 3 December 2018

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-017-9228-z

zbMATH Keywords

forecastingbig datarealized volatilitytime series modelsdynamic topic modelonline newstopic score

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Uses Software

• OptiRisk

Cites Work

• Data-based ranking of realised volatility estimators
• Robust ranking of multivariate GARCH models by problem dimension
• Realized Volatility: A Review
• 10.1162/jmlr.2003.3.4-5.993
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Handbook of Volatility Models and Their Applications
• Exploiting the errors: a simple approach for improved volatility forecasting

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