Intraday Data vs Daily Data to Forecast Volatility in Financial Markets
DOI10.1007/978-3-319-28725-6_12zbMath1366.62199OpenAlexW2506055570MaRDI QIDQ5280128
Publication date: 20 July 2017
Published in: Time Series Analysis and Forecasting (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-28725-6_12
stochastic volatilityMarkov chain Monte Carlofinancial marketsBayesian estimationparticle filterbig datarealized volatilityintraday data
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Monte Carlo methods (65C05)
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