A new Bayesian dynamic model integrates realized volatility proxies with price series via dynamic gamma processes and DLMs to enhance financial forecasting.
Statistical Aspects of ARCH and Stochastic Volatility , year =
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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.