A practical guide to harnessing the HAR volatility model
Adam Clements, Daniel P. A. Preve
| Year of publication: |
2021
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|---|---|
| Authors: | Clements, Adam ; Preve, Daniel P. A. |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 133.2021, p. 1-16
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| Subject: | Box-Cox transformation | Forecast comparisons | HAR | HARQ | Model confidence set | MSE | QLIKE | Realized variance | Robust regression | VaR | Volatility forecasting | Weighted least squares | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | Regressionsanalyse | Regression analysis | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2021.106285 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013256626