𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Non-linear forecasting in high-frequency financial time series

✍ Scribed by F. Strozzi; J.M. Zaldívar

Publisher
Elsevier Science
Year
2005
Tongue
English
Weight
940 KB
Volume
353
Category
Article
ISSN
0378-4371

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Non-linear forecasting of financial time
Non-linear forecasting of financial time series: An overview and some new models
✍ Terence C. Mills 📂 Article 📅 1996 🏛 John Wiley and Sons 🌐 English ⚖ 560 KB

We provide an overview of the papers contained in this Special Issue of the Journal of Forecasting and also discuss some new models for analysing financial time series that have recently been proposed. These are illustrated by empirical examples using 60 years of daily data on the London Stock Excha

Predicting financial volatility: High-fr
Predicting financial volatility: High-frequency time-series forecasts vis-à-vis implied volatility
✍ Martin Martens; Jason Zein 📂 Article 📅 2004 🏛 John Wiley and Sons 🌐 English ⚖ 170 KB

## Abstract Recent evidence suggests option implied volatilities provide better forecasts of financial volatility than time‐series models based on historical __daily__ returns. In this study both the measurement and the forecasting of financial volatility is improved using high‐frequency data and l

Linear and Non-linear (Non-)Forecastabil
Linear and Non-linear (Non-)Forecastability of High-frequency Exchange Rates
✍ CHRIS BROOKS 📂 Article 📅 1997 🏛 John Wiley and Sons 🌐 English ⚖ 222 KB 👁 1 views

This paper forecasts Daily Sterling exchange rate returns using various naive, linear and non-linear univariate time-series models. The accuracy of the forecasts is evaluated using mean squared error and sign prediction criteria. These show only a very modest improvement over forecasts generated by

PREDICTABILITY ANALYSIS OF SO2 TIME SERI
PREDICTABILITY ANALYSIS OF SO2 TIME SERIES BY LINEAR AND NON-LINEAR FORECASTING APPROACHES
✍ V. LAPENNA; M. MACCHIATO; C. COSMI; M. RAGOSTA; C. SERIO 📂 Article 📅 1996 🏛 John Wiley and Sons 🌐 English ⚖ 763 KB

Sulphur dioxide daily concentration time series recorded at four stations in Ravenna (Italy) during the period 1981-1990 have been analysed. The predictability of these series has been evaluated using two possible forecasting approaches: the global autoregressive approximation and the local autoregr