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Local Adaptive Multiplicative Error Models for High-Frequency Forecasts
16 references·1 citing·38 second hop
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References

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  • 2002New frontiers for arch models739 cited
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  • 2010When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions266 cited
  • 2009IMPROVING FORECAST ACCURACY BY COMBINING RECURSIVE AND ROLLING FORECASTS*194 cited
  • 2011Econometrics of Financial High-Frequency Data183 cited
  • 2005Duration, volume and volatility impact of trades182 cited
  • 2004Statistical inference for time-inhomogeneous volatility models158 cited
  • 2005Evaluating Models of Autoregressive Conditional Duration

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116 cited
  • 2009MULTISCALE LOCAL CHANGE POINT DETECTION WITH APPLICATIONS TO VALUE-AT-RISK105 cited
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    • 2017Chasing volatility24 cited