Search Results - subject:"HAR(∞) model"

Revisiting the puzzle of jumps in volatility forecasting : the new insights of high-frequency jump intensity

Qu, Hui; Wang, Tianyang; Shangguan, Peng; He, Mengying - In: The journal of futures markets 44 (2024) 2, pp. 218-251

Persistent link: https://www.econbiz.de/10014475461

Do industries predict stock market volatility? : evidence from machine learning models

Niu, Zibo; Demirer, Rıza; Suleman, Muhammad Tahir; … - In: Journal of international financial markets, … 90 (2024), pp. 1-26

Persistent link: https://www.econbiz.de/10014494704

Can the Baidu Index predict realized volatility in the Chinese stock market?

Zhang, Wei; Yan, Kai; Shen, Dehua - In: Financial Innovation 7 (2021) 1, pp. 1-31

This paper incorporates the Baidu Index into various heterogeneous autoregressive type time series models and shows that the Baidu Index is a superior predictor of realized volatility in the SSE 50 Index. Furthermore, the predictability of the Baidu Index is found to rise as the forecasting...

Persistent link: https://www.econbiz.de/10012602889

Forecast combination puzzle in the HAR model

Clements, Adam; Vasnev, Andrey L. - 2021

Persistent link: https://www.econbiz.de/10012940044

Can the Baidu Index predict realized volatility in the Chinese stock market?

Zhang, Wei; Yan, Kai; Shen, Dehua - In: Financial innovation : FIN 7 (2021), pp. 1-31

Persistent link: https://www.econbiz.de/10012418517

Does herding effect help forecast market volatility? : evidence from the Chinese stock market

Wang, Yide; Yu, Chao; Zhao, Xujie - In: Journal of forecasting 42 (2023) 5, pp. 1275-1290

Persistent link: https://www.econbiz.de/10014338876

Cross-sectional return dispersion and stock market volatility : evidence from high-frequency data

Niu, Zibo; Demirer, Rıza; Suleman, Muhammad Tahir; … - In: Journal of forecasting 42 (2023) 6, pp. 1309-1328

Persistent link: https://www.econbiz.de/10014338888

Forecasting stock volatility during the stock market crash period : the role of Hawkes process

Fan, Lina; Yang, Hao; Zhai, Jia; Zhang, Xiaotao - In: Finance research letters 55 (2023) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10014473015

Forecasting stock market volatility : the sum of the parts is more than the whole

Gao, Shang; Zhang, Zhikai; Wang, Yudong; Zhang, Yaojie - In: Finance research letters 55 (2023) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10014473040

Does VPIN provide predictive information for realized volatility forecasting : evidence from Chinese stock index futures market

Wen, Conghua; Jia, Fei; Hao, Jianli - In: China finance review international 13 (2023) 2, pp. 285-303

Persistent link: https://www.econbiz.de/10014312403