Forecasting realized variance using asymmetric HAR model with time-varying coefficients
Year of publication: |
2019
|
---|---|
Authors: | Wu, Xinyu ; Hou, Xinmeng |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 30.2019, p. 89-95
|
Subject: | Realized variance | Volatility forecasting | Semivariance | Time-varying coefficient | HAR | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Varianzanalyse | Analysis of variance | Schätzung | Estimation | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Börsenkurs | Share price |
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