Intraday data vs daily data to forecast volatility in financial markets (Q5280128)
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scientific article; zbMATH DE number 6750426
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| English | Intraday data vs daily data to forecast volatility in financial markets |
scientific article; zbMATH DE number 6750426 |
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Intraday Data vs Daily Data to Forecast Volatility in Financial Markets (English)
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20 July 2017
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Bayesian estimation
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big data
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intraday data
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Markov chain Monte Carlo
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particle filter
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realized volatility
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stochastic volatility
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financial markets
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0.7792588472366333
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0.7628452777862549
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0.7620612382888794
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0.7593570351600647
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