Bayesian Prediction of Jumps in Large Panels of Time Series Data
Work
Year: 2021
Type: article
Abstract: We take a new look at the problem of disentangling the volatility and jumps processes of daily stock returns. We first provide a computational framework for the univariate stochastic volatility model ... more
Source: Bayesian Analysis
Institutions University College London, MRC Biostatistics Unit, University of Cambridge, The Alan Turing Institute, Athens University of Economics and Business +1 more
Cites: 69
Cited by: 2
Related to: 10
FWCI: 0.397
Citation percentile (by year/subfield): 64.16
Subfield: Finance
Domain: Social Sciences
Open Access status: diamond