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ArticleModeling daily realized futures volatility with singular spectrum analysis

Dimitrios D. Thomakos2002

Article2002

Modeling daily realized futures volatility with singular spectrum analysis

Dimitrios D. Thomakos · Tao Wang · Luc T. Wille

35 citations·0/0 files stored·Physica A Statistical Mechanics and its Applications

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Complex Systems and Time Series Analysis

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References

2012The Econometrics of Financial Markets 1997The Econometrics of Financial Markets 1980On estimating the expected return on the market 2001The distribution of realized stock return volatility 2001The Distribution of Realized Exchange Rate Volatility 1998Modeling Asymmetric Comovements of Asset Returns 19965 Stochastic volatility 1994Chapter 49 Arch models

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2016Forecasting stochastic processes using singular spectrum analysis: Aspects of the theory and application 2016Singular Spectrum Analysis for signal extraction in Stochastic Volatility models

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2003Realized volatility in the futures marketsarticle · 9 shared references 2006Chapter 15 Volatility and Correlation Forecastingchapter · 8 shared references 2005Volatility Forecastingreport · 8 shared references 2002Parametric and Nonparametric Volatility Measurementpreprint · 8 shared references 2001Modeling and Forecasting Realized Volatilitypreprint · 6 shared references n.d.Designing realised kernels to measure the ex-post variation of equity prices in the presence of noisepreprint · 6 shared references

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Year2002

Typearticle

Published2002-08-26

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations35

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/s0378-4371(02)00845-2

openalex_workW1993966239

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