High-frequency volatility estimation and forecasting with a novel Bayesian LGI model

DOI10.1214/24-ejs2280MaRDI QIDQ6635564

Bo Zhang, Ben Wu, Weiqing Gao

Publication date: 12 November 2024

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

zbMATH Keywords

GARCHhigh-frequency dataBayesian inferencevolatility estimation and forecasting

Mathematics Subject Classification ID

Bayesian inference (62F15) Stationary stochastic processes (60G10) General considerations in statistical decision theory (62C05)

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