Computational Statistics applied to Economics and Finance
Volatility Estimation and Forecasting
The main codes used for the FGD estimation together with some simple examples can be found on this website.
Realized volatility forecasts for constituents of the S&P 500 estimated based on the results of the SNSF project "SentiVol: Sentiment Analysis and Bayesian Model Averaging for Volatility Prediction" can be found on this webpage.
Consultation hour: By appointment (email).