Realized volatility forecast with the Bayesian random compressed multivariate HAR model
Jiawen Luo, Langnan Chen
| Year of publication: |
2020
|
|---|---|
| Authors: | Luo, Jiawen ; Chen, Langnan |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 36.2020, 3, p. 781-799
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| Subject: | Realized volatility forecast | Bayesian random compressed | Multivariate HAR model | Forecast precision evaluations | Economic evaluations | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Bayes-Statistik | Bayesian inference | Theorie | Theory | ARCH-Modell | ARCH model | Multivariate Analyse | Multivariate analysis |