[R-SIG-Finance] seasonal model

[Fabrizio Cipollini]

Dear Mahesh

Give a glance to

http://www.ds.unifi.it/ricerca/pubblicazioni/working_papers/2009/wp2009_01.pdf

The paper (currently under revision) includes also some useful references
on the topic of your interest.

Best regards
Fabrizio Cipollini


>
> Message: 1
> Date: Sun, 13 Dec 2009 09:26:02 -0800
> From: Mahesh Krishnan <heshriti at gmail.com>
> Subject: [R-SIG-Finance] seasonal model
> To: r-sig-finance at stat.math.ethz.ch
> Message-ID:
> 	<33f6aa6f0912130926x4ad6d231he96a2d88ad3e5502 at mail.gmail.com>
> Content-Type: text/plain
>
> Dear  R-modelers,
>
> I'm looking for references on modeling volume and volatility time series
> modeling with the following properties: long term trend, short term
> seasonality.
> My first guess is do something like a seasonally differenced ARMA. Has
> anyone had experience testing the properties such as out-of-sample
forecasts
> of such a model ?
> Thank you for your help.


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Fabrizio Cipollini
Dipartimento di Statistica Giuseppe Parenti
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