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- W2912285393 abstract "In financial economics, a large number of models are developed based on the daily closing price. When using only the daily closing price to model the time series, we may discard valuable intra-daily information, such as maximum and minimum prices. In this study, we propose an interval time series model, including the daily maximum, minimum, and closing prices, and then apply the proposed model to forecast the entire interval. The likelihood function and the corresponding maximum likelihood estimates (MLEs) are obtained by stochastic differential equation and the Girsanov theorem. To capture the heteroscedasticity of volatility, we consider a stochastic volatility model. The efficiency of the proposed estimators is illustrated by a simulation study. Finally, based on real data for S&P 500 index, the proposed method outperforms several alternatives in terms of the accurate forecast." @default.
- W2912285393 created "2019-02-21" @default.
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- W2912285393 date "2019-02-14" @default.
- W2912285393 modified "2023-09-25" @default.
- W2912285393 title "Modeling financial interval time series" @default.
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- W2912285393 doi "https://doi.org/10.1371/journal.pone.0211709" @default.
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