A new Bayesian dynamic model integrates realized volatility proxies with price series via dynamic gamma processes and DLMs to enhance financial forecasting.
Statistics for Long-Memory Processes , year =
2 Pith papers cite this work. Polarity classification is still indexing.
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UNVERDICTED 2representative citing papers
A consistent two-stage GPH-filtered Hannan-Rissanen generalized information criterion for selecting finite AR and MA orders in ARFIMA models with growing candidate sets.
citing papers explorer
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Bayesian Dynamic Modeling of Realized Volatility in Financial Asset Price Forecasting
A new Bayesian dynamic model integrates realized volatility proxies with price series via dynamic gamma processes and DLMs to enhance financial forecasting.
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A GPH-Filtered Hannan--Rissanen Information Criterion for ARFIMA Order Selection
A consistent two-stage GPH-filtered Hannan-Rissanen generalized information criterion for selecting finite AR and MA orders in ARFIMA models with growing candidate sets.