Versatile HAR model for realized volatility: A least square model averaging perspective
A rapidly growing body of literature has documented improvements in forecasting financial return volatility measurement using various heterogeneous autoregression (HAR) type models. Most HAR-type models use a fixed lag index of (1,5,22) to mirror the daily, weekly, and monthly components of the vola...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
KeAi Communications Co.
2019
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| Subjects: | |
| Online Access: | View Fulltext in Publisher |