The comparison of density forecasts for 1-day ahead stock price of TSMC ADR, obtained from high-frequency returns

Thesis

Shih, Jheng-You

Masters, 國立清華大學, 計量財務金融學系

2017

Abstract

密度預測

實現波動率

無母數轉換

異質自我迴歸

分位數迴歸

density forecast

realized variance

nonparametric transformation

heterogeneous autoregression

quantile regression

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Title: The comparison of density forecasts for 1-day ahead stock price of TSMC ADR, obtained from high-frequency returns
Translated title: The comparison of density forecasts for 1-day ahead stock price of TSMC ADR, obtained from high-frequency returns
Creators: Shih, Jheng-You
Contributors: Tzeng, Chi-Feng (Advisor)
Awarding Institution: 國立清華大學, 計量財務金融學系; Masters
Theses and Dissertations: Masters, 國立清華大學, 計量財務金融學系
Language: English
Resource Type: Thesis
Date published: 2018