A new Bayesian dynamic model integrates realized volatility proxies with price series via dynamic gamma processes and DLMs to enhance financial forecasting.
The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures , 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.