Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: http://hdl.handle.net/10419/176051
Autoren: 
McAleer, Michael
Medeiros, Marcelo C.
Datum: 
2010
Reihe/Nr.: 
Texto para discussão 568
Zusammenfassung: 
In this paper we consider a nonlinear model based on neural networks as well as linear models to forecast the daily volatility of the S&P 500 and FTSE 100 indexes. As a proxy for daily volatility, we consider a consistent and unbiased estimator of the integrated volatility that is computed from high frequency intra-day returns. We also consider a simple algorithm based on bagging (bootstrap aggregation) in order to specify the models analyzed in this paper.
Schlagwörter: 
Financial econometrics
volatility forecasting
neural networks
nonlinear models
realized volatility
bagging.
Dokumentart: 
Working Paper
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