Flexible HAR model for realized volatility
Francesco Audrino, Chen Huang, Ostap Okhrin
| Year of publication: |
2019
|
|---|---|
| Authors: | Audrino, Francesco ; Huang, Chen ; Okhrin, Ostap |
| Published in: |
Studies in nonlinear dynamics and econometrics. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 23.2019, 3, p. 1-22
|
| Subject: | adaptive LASSO | heterogeneous autoregressive model | hypothesis testing | lag structure | realized volatility | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Autokorrelation | Autocorrelation | Statistischer Test | Statistical test | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2017-0080 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012054897