EXPLORING THE IMPACT OF CALENDAR EFFECTS ON THE DYNAMIC STRUCTURE AND FORECASTS OF FINANCIAL TIME SERIES

DOI10.1142/S0219024906003433MaRDI QIDQ3379407zbMATH OpenFDO

Authors Catherine Kyrtsou, Costas Siriopoulos, Alexandros Leontitsis

Publication date 6 April 2006

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0219024906003433

zbMATH Keywords

calendar effectsforecastingMackey-Glass-GARCH

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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Cites work

• A comparative study of some robust methods for coefficient-estimation in linear regression
• A comparison between neural networks and chaotic models for exchange rate prediction.
• Convergence of the feasible solution algorithm for least median of squares regression
• Correction of the Correlation Dimension for Noisy Time Series
• Embedology
• Is it possible to study chaotic and ARCH behaviour jointly? application of a noisy Mackey-Glass equation with heteroskedastic errors to the Paris Stock exchange returns series
• Nonlinear prediction of chaotic time series
• On hyperplanes of closest fit
• On the diversity of estimates.
• Regularized local linear prediction of chaotic time series

Cited in

(3)

• A pure martingale dual for multiple stopping
• Wealth optimization and dual problems for jump stock dynamics with stochastic factor
• High-frequency financial data calendar effects' wavelet neural network analysis

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