Time series forecasting using functional partial least square regression with stochastic volatility, GARCH, and exponential smoothing

DOI10.1002/FOR.2498zbMath1398.62308OpenAlexW2761980849WikidataQ115612931 ScholiaQ115612931MaRDI QIDQ4961413

Jong-Min Kim, Hojin Jung

Publication date: 29 October 2018

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.2498

zbMATH Keywords

GARCHforecastingexponential smoothing methodBayesian stochastic volatilityfunctional partial least square regressionhigh-dimensional market data

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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