On the empirical importance of periodicity in the volatility of financial time series
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- Ewa Ratuszny, 2015. "Risk Modeling of Commodities using CAViaR Models, the Encompassing Method and the Combined Forecasts," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 15, pages 129-156.
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More about this item
Keywords
Periodically correlated stochastic processes; GARCH models; Bayesian inference; volatility; unconditional variance;All these keywords.
JEL classification:
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2012-10-27 (Econometrics)
- NEP-ETS-2012-10-27 (Econometric Time Series)
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