Lassoing the HAR model : a model selection perspective on realized volatility dynamics
Year of publication: |
2016
|
---|---|
Authors: | Audrino, Francesco ; Knaus, Simon D. |
Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 35.2016, 8/10, p. 1485-1521
|
Subject: | Heterogeneous autoregressive model | Lasso | Model selection | Realized volatility | Theorie | Theory | Volatilität | Volatility | Modellierung | Scientific modelling | Monte-Carlo-Simulation | Monte Carlo simulation | Kointegration | Cointegration | Zeitreihenanalyse | Time series analysis |
-
A novel cluster HAR-type model for forecasting realized volatility
Yao, Xingzhi, (2019)
-
Knaus, Simon D., (2014)
-
Flexible HAR model for realized volatility
Audrino, Francesco, (2019)
- More ...
-
Lassoing the HAR model : a model selection perspective on realized volatility dynamics
Audrino, Francesco, (2012)
-
Knaus, Simon D., (2014)
-
Testing the lag structure of assets’ realized volatility dynamics
Audrino, Francesco, (2015)
- More ...