Ordinal-response GARCH models for transaction data: A forecasting exercise
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DOI: 10.1016/j.ijforecast.2019.02.016
Abstract: We use numerous high-frequency transaction data sets to evaluate the forecasting performances of several dynamic ordinal-response time series models with generalized autoregressive conditional heteroscedasticity (GARCH). The specifications account for three components: leverage effects, in-mean effects… read more here.
Keywords: response; transaction data; response garch; garch models ... See more keywords