Modelling and forecasting noisy realized volatility.

Manabu Asai Michael McAleer Marcelo C. Medeiros

Published in: Comput. Stat. Data Anal. (2012)

Keyphrases

exchange rate
garch model
financial time series
stock market
short term
grey model
noisy data
stock price
foreign exchange
long term
weather forecasting
noise free
early warning
electricity consumption
medium term
feature selection
financial crisis
crude oil
forecasting model
long run