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A Hidden Markov Model Approach to Information-Based Trading: Theory and Appli...
This paper develops a novel approach to information-based securities trading by characterizing the hidden state of the market, which varies following a Markov process. Extensive... -
Anticipating Long-Term Stock Market Volatility (replication data)
We investigate the relationship between long-term US stock market risks and the macroeconomic environment using a two-component GARCH-MIDAS model. Our results show that... -
Local Adaptive Multiplicative Error Models for High-Frequency Forecasts (repl...
We propose a local adaptive multiplicative error model (MEM) accommodating time-varying parameters. MEM parameters are adaptively estimated based on a sequential testing...
