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stat.AP2023
Network log-ARCH models for forecasting stock market volatility
Raffaele Mattera, Philipp Otto
This paper presents a novel dynamic network autoregressive conditional heteroscedasticity (ARCH) model based on spatiotemporal ARCH models to forecast volatility in the US stock ma…
stat.AP2021★ 1 cited
A mixed-frequency approach for exchange rates predictions
Raffaele Mattera, Michelangelo Misuraca, Germana Scepi +1
Selecting an appropriate statistical model to forecast exchange rates is still today a relevant issue for policymakers and central bankers. The so-called Meese and Rogoff puzzle as…