Volatility forecasting using global stochastic financial trends extracted from non-synchronous data
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DOI: 10.1016/j.ecosta.2017.01.003
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- Grigoryeva, Lyudmila & Ortega, Juan-Pablo & Peresetsky, Anatoly, 2015. "Volatility forecasting using global stochastic financial trends extracted from non-synchronous data," MPRA Paper 64503, University Library of Munich, Germany.
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- Panagiotidis, Theodore & Stengos, Thanasis & Vravosinos, Orestis, 2018.
"On the determinants of bitcoin returns: A LASSO approach,"
Finance Research Letters, Elsevier, vol. 27(C), pages 235-240.
- Theodore Panagiotidis & Thanasis Stengos & Orestis Vravosinos, 2018. "On the determinants of bitcoin returns: a LASSO approach," Working Paper series 18-14, Rimini Centre for Economic Analysis.
- Bayer, Sebastian, 2018. "Combining Value-at-Risk forecasts using penalized quantile regressions," Econometrics and Statistics, Elsevier, vol. 8(C), pages 56-77.
- Conlon, Thomas & Cotter, John & Gençay, Ramazan, 2018. "Long-run wavelet-based correlation for financial time series," European Journal of Operational Research, Elsevier, vol. 271(2), pages 676-696.
- Panagiotidis, Theodore & Stengos, Thanasis & Vravosinos, Orestis, 2019.
"The effects of markets, uncertainty and search intensity on bitcoin returns,"
International Review of Financial Analysis, Elsevier, vol. 63(C), pages 220-242.
- Theodore Panagiotidis & Thanasis Stengos & Orestis Vravosinos, 2018. "The effects of markets, uncertainty and search intensity on bitcoin returns," Working Paper series 18-39, Rimini Centre for Economic Analysis.
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More about this item
Keywords
Multivariate volatility modeling and forecasting; Global stochastic trend; Extended Kalman filter; Dynamic conditional correlations (DCC); Non-synchronous data;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
Statistics
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