Bayesian Model Averaging for Realized Volatility Models

Bayesian Model Averaging for Realized Volatility Models
Author: Robert W. Jones
Publisher:
Total Pages: 56
Release: 2018
Genre: Finance
ISBN: 9780438392175


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This research explores statistical methods for forecasting realized volatility for stock market holdings; primarily Stochastic Dierential Equations for the development of various volatility measures and Bayesian Model Averaging for the development and optimization of a linear model capable of predicting said volatility. These methods will be outlined and explained before being applied to high frequency trade data.


Bayesian Model Averaging for Realized Volatility Models
Language: en
Pages: 56
Authors: Robert W. Jones
Categories: Finance
Type: BOOK - Published: 2018 - Publisher:

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This research explores statistical methods for forecasting realized volatility for stock market holdings; primarily Stochastic Dierential Equations for the deve
Modelling Volatility in Financial Markets
Language: en
Pages: 246
Authors: Chun Liu
Categories:
Type: BOOK - Published: 2007 - Publisher:

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In this thesis, I study the dynamics of the volatility process and focus on estimation and forecasting. Recent research uses high frequency intraday data to con
Limited Information Bayesian Model Averaging for Dynamic Panels with An Application to a Trade Gravity Model
Language: en
Pages: 47
Authors: Huigang Chen
Categories: Business & Economics
Type: BOOK - Published: 2011-10-01 - Publisher: International Monetary Fund

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This paper extends the Bayesian Model Averaging framework to panel data models where the lagged dependent variable as well as endogenous variables appear as reg
Handbook of Volatility Models and Their Applications
Language: en
Pages: 566
Authors: Luc Bauwens
Categories: Business & Economics
Type: BOOK - Published: 2012-04-17 - Publisher: John Wiley & Sons

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A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communication
Realized Volatility Forecasting Based on Dynamic Quantile Model Averaging
Language: en
Pages:
Authors: Zongwu Cai
Categories:
Type: BOOK - Published: 2020 - Publisher:

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