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金融波动率：导论AI 解读

Abstract It is now 20 years since the publication of Engle's ( 1982 ) seminal paper, which introduced ARCH to the world. The ARCH paper had an enormous influence on both theoretical and applied econometrics, and was influential in the establishment of the discipline of Financial Econometrics. In this paper we provide an introduction to the special issue on modelling and forecasting financial volatility, which commemorates the Twentieth Anniversary of the publication of ARCH.…

绝对收益水平跳变的建模与预测AI 解读

Abstract Due to high and low volatility periods, time series of absolute returns experience temporary level shifts which differ in length and size. In this paper we modify the basic Censored Latent Effects Autoregressive [CLEAR] model, such that it can describe and forecast the location and size of such level shifts. For our particular application, we assume that technical trading variables may have explanatory value for future level shifts, where these effects may differ…