Fast and Adaptive Cointegration Based Model for Forecasting High Frequency Financial Time Series
Author:
Funder
Fondecyt
DGIP-UTFSM
CCTVal
Publisher
Springer Science and Business Media LLC
Subject
Computer Science Applications,Economics, Econometrics and Finance (miscellaneous)
Link
http://link.springer.com/content/pdf/10.1007/s10614-017-9691-7.pdf
Reference24 articles.
1. Arestis, P., Demetriades, P. O., & Luintel, K. B. (2001). Financial development and economic growth: The role of stock markets. Journal of Money, Credit and Banking, 33, 16–41.
2. Banerjee, A. (1993). Co-integration, error correction, and the econometric analysis of non-stationary data. Advanced texts in econometrics. Oxford University Press, http://books.google.cl/books?id=QDw6Z30_j8AC .
3. Chen, A. S., & Leung, M. T. (2003). A Bayesian vector error correction model for forecasting exchange rates. Computers & Operations Research, 30(6), 887–900.
4. Dukascopy. (2014). Dukascopy historical data feed. https://www.dukascopy.com
5. Duy, T. A., & Thoma, M. A. (1998). Modeling and forecasting cointegrated variables: Some practical experience. Journal of Economics and Business, 50(3), 291–307.
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