Modeling financial interval time series

Modeling Financial Time Series With S - Plus

Overview and Comparison of Short-term Interval Models for Financial Time Series Forecasting

  In recent years, various time series models have been proposed for financial markets forecasting. In each case, the accuracy of time series forecasting models are fundamental to make decision and hence the research for improving the effectiveness of forecasting models have been curried on. Many researchers have compared different time series models together in order to determine more efficien...

Mining Interval Time Series

Data mining can be used to extensively automate the data analysis process. Techniques for mining interval time series, however, have not been considered. Such time series are common in many applications. In this paper, we investigate mining techniques for such time series. Specifically, we propose a technique to discover temporal containment relationships. An item A is said to contain an item B...

Modeling and forecasting interval time series with threshold models

The analyses, opinions and fi ndings of these papers represent the views of the authors, they are not necessarily those of the Banco de Portugal or the Eurosystem Abstract Over recent years several methods to deal with high-frequency data (economic, …nancial and other) have been proposed in the literature. An interesting example is for instance interval-valued time series described by the tempo...

Econometric Modeling of Financial Time Series Volatility Using Software Packages

The article is devoted to the comparative analysis of software packages in financial time series modeling. The most common among economists packages R, Eviews and Gretl are considered. Volatility is often used as a rough approximation to measuring of overall risk financial instruments. Polish stock index WIG for the modeling of financial time series volatility was chosen. Econometric model of f...