Neural Network Approach in Forecasting Realized Variance Using High-Frequency Data

Forecasting Natural Gas Demand Using Meteorological Data: Neural Network Method

The need for prediction and patterns of gas consumption especially in the cold seasons is essential for consumption management and policy planning decision making. In residential and commercial uses which account for the bulk of gas consumption in the country the effects of meteorological variables have the highest impact on consumption.  In the present research four variables include daily ave...

Forecasting of heavy metals concentration in groundwater resources of Asadabad plain using artificial neural network approach

Nowadays 90% of the required water of Iran is secured with groundwater resources and forecasting of pollutants content in these resources is vital. Therefore, this research aimed to develop and employ the feedforward artificial neural network (ANN) to forecast the arsenic (As), lead (Pb), and zinc (Zn) concentration in groundwater resources of Asadabad plain. In this research, the ANN models we...

Analysis of High Frequency Financial Data: Models, Methods and Software. Part II: Modeling and Forecasting Realized Variance Measures

A key problem in financial econometrics is the modeling, estimation and forecasting of conditional return volatility and correlation. Having accurate forecasting models for conditional volatility and correlation is important for accurate derivatives pricing, risk management and asset allocation decisions. It is well known that conditional volatility and correlation are highly predictable. An in...

Forecasting Volatility using High Frequency Data

An Optimal and Unbiased Measure of Realized Variance Based on Intermittent High-Frequency Data

We consider the problem of estimating a measure of daily volatility from intermittent high-frequency data that are subject to market microstructure effects. We show that a simple Newey-West type modification of the realized variance (RV) yields an unbiased measure of volatility for the ‘open’ part of the day. The modified RV is unbiased even if 1-minute intra-day returns are used. Further, with...