Forecasting Realized Volatility with Linear and Nonlinear Models
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 futures. As a proxy for daily volatility, we consider a consistent and unbiased estimator of the integrated volatility that is computed from high-frequency intraday returns. We also consider a simple algorithm based on bagging (bootstrap aggregation) in order to specify the models analysed in this paper.
Journal of Economic Surveys V 25, N 1, P 6-18, 2011
Michael McAller, Marcelo Cunha Medeiros,
http://onlinelibrary.wiley.com/doi/10.1111/j.1467-6419.2010.00640.x/pdf
Destaques
-
Rodrigo Reis Soares, Juliano Junqueira Assunção, Tomás Fonseca Goulart, A Note on Slavery and the Roots of Inequality , Journal of Comparative Economics, 2012
-
Marcelo de Paiva Abreu, Felipe Tâmega Fernandes, Brazil: The resilience of the Brazilian Insurance Market, 2012
-
Rodrigo Reis Soares, D. Krueger, M. Berthelon, Household choices of child labor and schooling: a simple model with application to Brazil , Journal of Human Resources, 2012
Textos para discussão
-
João Manoel Pinho de Mello, Daniel Ricardo de Castro Cerqueira, Evaluating a National Anti-Firearm Law and Estimating the Causal Effect of Guns on Crime, 2013
-
Márcio Gomes Pinto Garcia , Marcos Chamon, Capital controls in Brazil: Effective?, 2013
-
Rodrigo Reis Soares, Leandro Siqueira Carvalho, Living on the Edge: Youth Entry, Career and Exit in Drug-Selling Gangs, 2013