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- W3159464310 abstract "We take a new look at the problem of disentangling the volatility and jumps processes of daily stock returns. We first provide a computational framework for the univariate stochastic volatility model with Poisson-driven jumps that offers a competitive inference alternative to the existing tools. This methodology is then extended to a large set of stocks for which we assume that their unobserved jump intensities co-evolve in time through a dynamic factor model. To evaluate the proposed modelling approach we conduct out-of-sample forecasts and we compare the posterior predictive distributions obtained from the different models. We provide evidence that joint modelling of jumps improves the predictive ability of the stochastic volatility models." @default.
- W3159464310 created "2021-05-10" @default.
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- W3159464310 date "2022-06-01" @default.
- W3159464310 modified "2023-09-26" @default.
- W3159464310 title "Bayesian Prediction of Jumps in Large Panels of Time Series Data" @default.
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- W3159464310 doi "https://doi.org/10.1214/21-ba1268" @default.
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