Intraday data vs daily data to forecast volatility in financial markets
DOI10.1007/978-3-319-28725-6_12zbMATH Open1366.62199OpenAlexW2506055570MaRDI QIDQ5280128FDOQ5280128
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
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Markov chain Monte Carloparticle filterbig dataBayesian estimationrealized volatilitystochastic volatilityfinancial marketsintraday data
Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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- Estimating stochastic volatility models using daily returns and realized volatility simultaneously
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