Bayesian Model Averaging for Realized Volatility Models
Author | : Robert W. Jones |
Publisher | : |
Total Pages | : 56 |
Release | : 2018 |
ISBN-10 | : 0438392175 |
ISBN-13 | : 9780438392175 |
Rating | : 4/5 (75 Downloads) |
Download or read book Bayesian Model Averaging for Realized Volatility Models written by Robert W. Jones and published by . This book was released on 2018 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: This research explores statistical methods for forecasting realized volatility for stock market holdings; primarily Stochastic Dierential Equations for the development of various volatility measures and Bayesian Model Averaging for the development and optimization of a linear model capable of predicting said volatility. These methods will be outlined and explained before being applied to high frequency trade data.