Adaptive Heterogeneous Autoregressive Models of Realized Volatility Based on a Genetic Algorithm
نویسندگان
چکیده
منابع مشابه
Analysis of Realized Volatility in Tehran Stock Exchange using Heterogeneous Autoregressive Models Approach
Objective: The present study aims atinvestigating the behavior of realized volatility for high-frequency data of Tehran Stock Index from April28th, 2012 to August 8th, 2018. Methods: Three different types of HAR models including of HAR-RV-CJ, HAR-RV and HAR-RVJ were used to analyze the Realized Volatility. Results: The obtained results of three diverse models revealed that the estimated Reali...
متن کاملPerformance of Heterogeneous Autoregressive Models of Realized Volatility: Evidence from U.S. Stock Market
This paper deals with heterogeneous autoregressive models of realized volatility (HAR-RV models) on high-frequency data of stock indices in the USA. Its aim is to capture the behavior of three groups of market participants trading on a daily, weekly and monthly basis and assess their role in predicting the daily realized volatility. The benefits of this work lies mainly in the application of he...
متن کاملAdaptive Network-based Fuzzy Inference System-Genetic Algorithm Models for Prediction Groundwater Quality Indices: a GIS-based Analysis
The prediction of groundwater quality is very important for the management of water resources and environmental activities. The present study has integrated a number of methods such as Geographic Information Systems (GIS) and Artificial Intelligence (AI) methodologies to predict groundwater quality in Kerman plain (including HCO3-, concentrations and Electrical Conductivity (EC) of groundwater)...
متن کاملRealized Volatility Based on Tick Time Sampling
A central limit theorem for the realized volatility estimator of the integrated volatility based on a specific random sampling scheme is proved. The estimator is shown to be also robust to market microstructure noise induced by price discreteness and bid-ask spreads.
متن کاملconstruction and validation of a computerized adaptive translation test (a receptive based study)
آزمون انطباقی رایانه ای (cat) روشی نوین برای سنجش سطح علمی دانش آموزان می باشد. در حقیقت آزمون های رایانه ای با سرعت بالایی به سمت و سوی جایگزین عملی برای آزمون های کاغذی می روند (کینگزبری، هاوسر، 1993). مقاله حاضر به دنبال آزمون انطباقی رایانه ای برای ترجمه می باشد. بدین منظور دو پرسشنامه مشتمل بر 55 تست ترجمه میان 102 آزمودنی و 10 مدرس زبان انگلیسی پخش گردید. پرسشنامه اول میان 102 دانشجوی س...
ذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Abstract and Applied Analysis
سال: 2014
ISSN: 1085-3375,1687-0409
DOI: 10.1155/2014/943041