Volatility prediction based on scheduled macroeconomic announcements
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Publication:5256378
DOI10.1002/cjs.11247zbMath1328.62632OpenAlexW1583164908MaRDI QIDQ5256378
Petros Dellaportas, Athanassios Petralias
Publication date: 22 June 2015
Published in: Canadian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/cjs.11247
thresholdsmodel selectionnonlinear time seriesexchange ratesGARCH modelsBayesian methodsnonparametric methodsvolatility forecastingreversible jumppopulation Markov chain Monte Carlo
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Bayesian inference (62F15)
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