Modeling and forecasting exchange rate volatility in time-frequency domain
This paper proposes an enhanced approach to modeling and forecasting volatility using
high frequency data. Using a forecasting model based on Realized GARCH with multiple …
high frequency data. Using a forecasting model based on Realized GARCH with multiple …
[PDF][PDF] Does Predictive Ability of an Asset Price Rest in'Memory'? Insights from a New Approach
Despite an inherent share of unpredictability, asset prices such as in stock and Bitcoin
markets are naturally driven by significant magnitudes of memory; depending on the …
markets are naturally driven by significant magnitudes of memory; depending on the …
[PDF][PDF] Memory that Drives! New Insights into Forecasting Performance of Stock Prices from SEMIFARMA-AEGAS Model
Stock price forecasting, a popular growth-enhancing exercise for investors, is inherently
complex–thanks to the interplay of financial economic drivers which determine both the …
complex–thanks to the interplay of financial economic drivers which determine both the …