Forecasting and trading high frequency volatility on large indices
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Publication:4554453
DOI10.1080/14697688.2017.1414489zbMath1400.91555OpenAlexW3125827220MaRDI QIDQ4554453
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Publication date: 14 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2017.1414489
Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
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A generalized heterogeneous autoregressive model using market information ⋮ A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns ⋮ A neural network enhanced volatility component model
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