Cover Image

Bayesian Dynamic Modeling of Realized Volatility in Financial Asset Price Forecasting

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Woitschig, Patrick, West, Mike
Format:	Preprint
Published:	2026
Subjects:	Methodology Statistical Finance 62M10, 62M20, 62F15, 91B84
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Bayesian Forecast Combination with Predictive Priors via Particle Filtering
by: Luo, Xiaorui, et al.
Published: (2025)

On filter-type estimation of discretely sampled cyclic long-memory processes
by: Ayache, Antoine, et al.
Published: (2024)

Range-Based Volatility Estimators for Monitoring Market Stress: Evidence from Local Food Price Data
by: Andrée, Bo Pieter Johannes
Published: (2026)

Sparse and Low-bias Estimation of High Dimensional Vector Autoregressive Models
by: Ruiz, Trevor D., et al.
Published: (2019)

Simultaneous Graphical Dynamic Modeling
by: West, Mike, et al.
Published: (2024)

Semiparametric Volatility Model with Varying Frequencies
by: Benito, Jetrei Benedick R., et al.
Published: (2021)

Temporal Coverage Bias in Financial Panel Data: A Coverage-Aware Structuring Framework with Evidence from the Dhaka Stock Exchange
by: Muhammad, Tashreef
Published: (2026)

Stylized facts of the Indian Stock Market
by: Sen, Rituparna, et al.
Published: (2019)

Mitigating the choice of the duration in DDMS models through a parametric link
by: Mendes, Fernando Henrique de Paula e Silva, et al.
Published: (2023)

Compositional dynamic modelling for causal prediction in multivariate time series
by: Li, Kevin, et al.
Published: (2024)

Double Descent and Benign Overfitting in Macroeconomic Forecasting
by: Carriero, Andrea, et al.
Published: (2026)

Capital Asset Pricing Model with Size Factor and Normalizing by Volatility Index
by: Atsiwo, Abraham, et al.
Published: (2024)

Switching between states and the COVID-19 turbulence
by: Aarab, Ilias
Published: (2025)

Nonparametric Test for Volatility in Clustered Multiple Time Series
by: Barrios, Erniel B., et al.
Published: (2021)

A New Stock Market Valuation Measure with Applications to Retirement Planning
by: Sarantsev, Andrey
Published: (2019)

Explainable Machine Learning for Macroeconomic and Financial Nowcasting: A Decision-Grade Framework for Business and Policy
by: Attolico, Luca
Published: (2025)

The Aligned Economic Index & The State Switching Model
by: Aarab, Ilias
Published: (2025)

New Goodness-of-Fit Tests for Time Series Models
by: Mahdi, Esam
Published: (2020)

A Matsuoka-Based GARMA Model for Hydrological Forecasting: Theory, Estimation, and Applications
by: Pumi, Guilherme, et al.
Published: (2025)

Stochastic Volatility under Informative Missingness
by: Zhang, Gehui, et al.
Published: (2025)

Parametric generalized spectrum for heavy-tailed time series
by: Goto, Yuichi, et al.
Published: (2026)

External Demand, Domestic Monetary Conditions, and Remittance Dynamics in Nepal
by: Malla, Sahaj Raj
Published: (2026)

Identification in (Endogenously) Nonlinear SVARs Is Easier Than You Think
by: Duffy, James A., et al.
Published: (2026)

Inference for Local Projections
by: Inoue, Atsushi, et al.
Published: (2023)

Bayesian joint quantile autoregression
by: Castillo-Mateo, Jorge, et al.
Published: (2023)

Forecasting High Dimensional Time Series with Dynamic Dimension Reduction
by: Peña, Daniel, et al.
Published: (2025)

Decision synthesis in monetary policy
by: Chernis, Tony, et al.
Published: (2024)

Bayesian inference on the order of stationary vector autoregressions
by: Binks, Rachel L., et al.
Published: (2023)

Unit-Weibull Autoregressive Moving Average Models
by: Pumi, Guilherme, et al.
Published: (2022)

Explainable Prediction of Economic Time Series Using IMFs and Neural Networks
by: Hidalgo, Pablo, et al.
Published: (2025)

A Novel Multiple Imputation Approach For Parameter Estimation in Observation-Driven Time Series Models With Missing Data
by: Pumi, Guilherme, et al.
Published: (2026)

Order selection in GARMA models for count time series: a Bayesian perspective
by: Lastra, Katerine Zuniga, et al.
Published: (2024)

JFR-rg: A New Macroeconomic Framework for High-Debt, Low-Growth Economies under Financial Repression
by: Wakimoto, Hirofumi
Published: (2026)

Bitcoin's Power Law: Weak Structure, Strong Forecasts
by: Baquero, Carlos, et al.
Published: (2026)

Is Jobless Growth Valid in Turkiye? A Sectoral Analysis of the Relationship between Unemployment and Economic Growth
by: Akusta, Emre
Published: (2025)

The VIX as Stochastic Volatility for Corporate Bonds
by: Park, Jihyun, et al.
Published: (2024)

Spurious Predictability in Financial Machine Learning
by: Nikolopoulos, Sotirios D.
Published: (2026)

Nonparametric Vector Quantile Autoregression
by: González-Sanz, Alberto, et al.
Published: (2025)

Residual spectrum: Brain functional connectivity detection beyond coherence
by: Goto, Yuichi, et al.
Published: (2023)

Can Renewable Energy Mitigate Inflationary Pressures from Energy Imports? Evidence from Turkiye
by: Akusta, Emre
Published: (2026)