Business Time Sampling Scheme with Applications to Testing Semi-Martingale Hypothesis and Estimating Integrated Volatility

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Forecast developers predominantly assess residuals and error statistics when tuning the targeted model?s quality. With that, eventual cost or rewards of the underlying business application are typically not considered in the model development phase. The ... ver más

Revista: Forecasting

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Revista: Journal of Economic Development; Environment and People

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Anh Huu Nguyen, Hieu Thanh Nguyen, Chung Quang Tran and Lien Quynh Le

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Revista: International Journal of Financial Studies

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This study developed an investment framework to implement dynamic factor rotation strategies according to changes in economic conditions. I constructed a useful macro indicator that tracked real-time business cycles of the US economy and applied a trend-... ver más

Revista: International Journal of Financial Studies

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Forecasting the state of an economy is important for policy makers and business leaders. When this is conducted in real-time, it is called nowcasting. In this paper, we present a method that shows how forecasting errors decline as additional contemporane... ver más

Revista: Forecasting

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