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Bayesian Model Averaging for Realize...

Jones, Robert W.

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Bayesian Model Averaging for Realized Volatility Models.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Bayesian Model Averaging for Realized Volatility Models./
作者:	Jones, Robert W.
出版者:	Ann Arbor : ProQuest Dissertations & Theses, : 2018,
面頁冊數:	65 p.
附註:	Source: Masters Abstracts International, Volume: 58-02.
Contained By:	Masters Abstracts International58-02(E).
標題:	Statistics. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10839911
ISBN:	9780438392175

Bayesian Model Averaging for Realized Volatility Models.
Jones, Robert W.

Bayesian Model Averaging for Realized Volatility Models. - Ann Arbor : ProQuest Dissertations & Theses, 2018 - 65 p.

Source: Masters Abstracts International, Volume: 58-02.

Thesis (M.S.)--Northern Illinois University, 2018.

This research explores statistical methods for forecasting realized volatility for stock market holdings; primarily Stochastic Dierential Equations for the development of various volatility measures and Bayesian Model Averaging for the development and optimization of a linear model capable of predicting said volatility. These methods will be outlined and explained before being applied to high frequency trade data.

ISBN: 9780438392175Subjects--Topical Terms:

517247
Statistics.

Bayesian Model Averaging for Realized Volatility Models.
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500 $a Includes supplementary digital materials.
500 $a Adviser: Alan Polansky.
502 $a Thesis (M.S.)--Northern Illinois University, 2018.
520 $a This research explores statistical methods for forecasting realized volatility for stock market holdings; primarily Stochastic Dierential Equations for the development of various volatility measures and Bayesian Model Averaging for the development and optimization of a linear model capable of predicting said volatility. These methods will be outlined and explained before being applied to high frequency trade data.
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