Heterogeneous component multiplicative error models for forecasting trading volumes

Author:

Naimoli Antonio,Storti Giuseppe

Publisher

Elsevier BV

Subject

Business and International Management

Reference43 articles.

1. Models with multiplicative decomposition of conditional variances and correlations;Amado,2019

2. Modelling volatility by variance decomposition;Amado;Journal of Econometrics,2013

3. Intraday and interday volatility in the Japanese stock market;Andersen;Journal of International Financial Markets, Institutions and Money,2000

4. Modeling and forecasting realized volatility;Andersen;Econometrica,2003

5. Forecasting comparison of long term component dynamic models for realized covariance matrices;Bauwens;Annals of Economics and Statistics,2016

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1. Long and Short–Run Dynamics in Realized Covariance Matrices: A Robust MIDAS Approach;Springer Proceedings in Mathematics & Statistics;2023

2. Demand Forecasting Using Coupling Of Machine Learning And Time Series Models For The Automotive After Market Sector;2021 5th International Conference on Electrical, Electronics, Communication, Computer Technologies and Optimization Techniques (ICEECCOT);2021-12-10

3. A Component Multiplicative Error Model for Realized Volatility Measures;Springer Proceedings in Mathematics & Statistics;2020

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