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Forecasting Realized Volatility with Linear and Nonlinear Models
http://hdl.handle.net/2261/32446
http://hdl.handle.net/2261/32446e7d4bebc-bb5e-4010-a0a6-292143439945
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2013-05-31 | |||||
タイトル | ||||||
タイトル | Forecasting Realized Volatility with Linear and Nonlinear Models | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Financial econometrics | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | volatility forecasting | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | neural networks | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | nonlinear models | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | realized volatility | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | bagging | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | JEL Classifications: C22, C53, G12, G17. | |||||
主題Scheme | Other | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_18gh | |||||
タイプ | technical report | |||||
アクセス権 | ||||||
アクセス権 | metadata only access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
著者 |
McAleer, Michael
× McAleer, Michael× Medeiros, Marcelo C. |
|||||
著者所属 | ||||||
著者所属 | Econometric Institute Erasmus School of Economics Erasmus University Rotterdam | |||||
著者所属 | ||||||
著者所属 | Tinbergen Institute | |||||
著者所属 | ||||||
著者所属 | Center for International Research on the Japanese Economy (CIRJE) Faculty of Economics University of Tokyo | |||||
著者所属 | ||||||
著者所属 | Department of Economics Pontifical Catholic University of Rio de Janeiro | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | In this paper we consider a nonlinear model based on neural networks as well as linear models to forecast the daily volatility of the S&P 500 and FTSE 100 indexes. As a proxy for daily volatility, we consider a consistent and unbiased estimator of the integrated volatility that is computed from high frequency intra-day returns. We also consider a simple algorithm based on bagging (bootstrap aggregation) in order to specify the models analyzed in the paper. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 本文フィルはリンク先を参照のこと | |||||
書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-686, 発行日 2009-10 |
|||||
書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11450569 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
日本十進分類法 | ||||||
主題 | 335 | |||||
主題Scheme | NDC | |||||
出版者 | ||||||
出版者 | 日本経済国際共同センター | |||||
出版者別名 | ||||||
Center for International Research on the Japanese Economy | ||||||
関係URI | ||||||
識別子タイプ | URI | |||||
関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2009/2009cf686ab.html |