Modeling the Variance of Return Intervals Toward Volatility Prediction
DOI10.1111/jtsa.12518zbMath1450.62116OpenAlexW2994898967WikidataQ126564814 ScholiaQ126564814MaRDI QIDQ5121008
Isaac Blackhurst, Yan Sun, Guang-Hua Lian, Jennifer Loveland, Zu-di Lu
Publication date: 16 September 2020
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://eprints.soton.ac.uk/436478/1/Int_GARCH_jtsa_1_final.pdf
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) Economic time series analysis (91B84) Time series analysis of dynamical systems (37M10)
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Different approaches to forecast interval time series: a comparison in finance
- Volatility forecast comparison using imperfect volatility proxies
- Least squares fitting of an affine function and strength of association for interval-valued data
- On the conditional variance of fuzzy random variables
- Principal component analysis on interval data
- Soft methods for handling variability and imprecision. Selected papers based on the presentations at the 4th international conference on soft methods in probability and statistics (SMPS'2008), Toulouse, France, September 8--10, 2008.
- Constrained linear regression models for symbolic interval-valued variables
- Testing linear independence in linear models with interval-valued data
- Centre and range method for fitting a linear regression model to symbolic interval data
- Limit theorems for sums of independent, compact, random subsets of Euclidean space
- A strong law of large numbers for random compact sets
- Integrals, conditional expectations, and martingales of multivalued functions
- On the variance of fuzzy random variables
- Linear regression with random fuzzy variables: Extended classical estimates, best linear estimates, least squares estimates
- Estimation of a flexible simple linear model for interval data based on set arithmetic
- Generalized autoregressive conditional heteroscedasticity
- A normal hierarchical model and minimum contrast estimation for random intervals
- Asymptotic tests for interval-valued means
- An application of interval methods to stock market forecasting
- Least squares estimation of linear regression models for convex compact random sets
- Integrals of set-valued functions
- Sur la fonction d'appui des ensembles convexes dans un espace localement convexe
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Interval Archetypes: A New Tool for Interval Data Analysis
- Interval-valued data regression using partial linear model
- Regression model for interval-valued variables based on copulas
- Dependencies and Variation Components of Symbolic Interval-Valued Data
- Theory of Random Sets
- An Embedding Theorem for Spaces of Convex Sets
- Regression and correlation analyses of a linear relation between random intervals
This page was built for publication: Modeling the Variance of Return Intervals Toward Volatility Prediction
