Modeling daily realized futures volatility with singular spectrum analysis

DOI10.1016/S0378-4371(02)00845-2zbMath0998.62093OpenAlexW1993966239MaRDI QIDQ1611123

Dimitrios D. Thomakos, Tao Wang, Luc T. Wille

Publication date: 21 August 2002

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-4371(02)00845-2

zbMATH Keywords

logarithmic standard deviationsreturn series

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes and spectral analysis (62M15)

Related Items (3)

Difference-based Methods for Truncating the Singular Value Decomposition ⋮ Predicting global temperature anomaly: a definitive investigation using an ensemble of twelve competing forecasting models ⋮ Minute-ahead stock price forecasting based on singular spectrum analysis and support vector regression

Uses Software

• CaterpillarSSA

Cites Work

• Singular spectrum analysis in nonlinear dynamics, with applications to paleoclimatic time series
• Extracting qualitative dynamics from experimental data
• Data-adaptive wavelets and multi-scale singular-spectrum analysis
• Mapping the channels of communication between the tropics and higher latitudes in the atmosphere
• The Distribution of Realized Exchange Rate Volatility
• Modeling and Forecasting Realized Volatility
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