Financial time series

2009

82 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/e814247349616e7a685c8939939a2bb9a696d8db

Citations in the corpus

• Measuring and Forecasting Volatility in Chinese Stock Market Using HAR-CJ-M Model (2013, unknown): “To measuring and forecasting the volatility, Engle [1], Bollerslev [2], and Taylor [3] proposed the ARCH model, GARCH model, and SV model, respectively.”
• Forecasting S&P 500 index using artificial neural networks and design of experiments (2013, unknown): “It should be noted that some of the previous studies such as those of Leung et al. (2000), Hussain et al. (2007), Yao et al. (1992), and O’Connor and Madden (2006) lacked the consideration of the effect of initialization.”
• Forecasting Volatility Using High-Frequency Data (2011, unknown): “While Bandi et al. (2008) apply ARFIMA methods to the individual realized variance/covariances, de Pooter et al. (2008) apply outer product based estimators to the 100-dimensional vector of intraday return.”