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Search: subject:"HAR(∞) model"
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HAR model
63
Volatility
61
Volatilität
61
Forecasting model
45
Prognoseverfahren
45
ARCH model
41
ARCH-Modell
41
Theorie
24
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24
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23
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22
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22
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21
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21
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20
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20
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17
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17
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16
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16
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13
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11
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11
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10
Welt
10
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10
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9
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9
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7
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7
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7
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7
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6
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6
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6
realized volatility
6
volatility forecasting
6
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6
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5
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49
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26
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4
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68
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16
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Todorova, Neda
6
Han, Heejoon
5
Luo, Jiawen
5
Ryu, Doojin
5
Zhang, Yaojie
5
Allen, David E.
4
Clements, Adam
4
Degiannakis, Stavros
4
Demirer, Rıza
4
Souček, Michael
4
Audrino, Francesco
3
Buncic, Daniel
3
Camponovo, Lorenzo
3
Delis, Panagiotis
3
Filis, George
3
Hwang, Eunju
3
Kutan, Ali M.
3
Ma, Feng
3
Roth, Constantin
3
Wei, Yu
3
Baillie, Richard
2
Bauwens, Luc
2
Calonaci, Fabio
2
Chen, Langnan
2
Chen, Ruijie
2
Cho, Dooyeon
2
Fičura, Milan
2
Ftiti, Zied
2
Gisler, Katja I. M.
2
Gupta, Rangan
2
Harvey, Andrew C.
2
Hsiao, Cheng
2
Kutan, Ali Mustafa
2
Lee, Oesook
2
Lei, Likun
2
Liao, Yin
2
McAleer, Michael
2
Niu, Zibo
2
Palumbo, Dario
2
Qiao, Gaoxiu
2
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School of Economics and Political Science, Universität St. Gallen
2
Institut für Weltwirtschaft (IfW)
1
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International journal of forecasting
5
Journal of forecasting
5
Energy economics
4
Finance research letters
4
Applied economics
3
Economics letters
3
The journal of futures markets
3
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2
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2
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2
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2
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2
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2
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2
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1
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1
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1
Economics : the open-access, open-assessment e-journal
1
Economics : the open-access, open-assessment journal
1
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Economics Discussion Papers / Institut für Weltwirtschaft (IfW)
1
Economics: The Open-Access, Open-Assessment E-Journal
1
Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets
1
Energy Economics
1
European Financial and Accounting Journal
1
European financial and accounting journal : EFAJ
1
Financial Innovation
1
Financial innovation : FIN
1
International journal of finance & economics : IJFE
1
International review of financial analysis
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Journal of Econometrics
1
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ECONIS (ZBW)
65
RePEc
11
EconStor
8
Showing
21
-
30
of
84
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21
Forecasting stock market realized volatility : the role of global terrorist attacks
Wen, Danyan
;
He, Mengxi
;
Wang, Yudong
;
Zhang, Yaojie
- In:
Applied economics
55
(
2023
)
22
,
pp. 2551-2566
Persistent link: https://www.econbiz.de/10014295065
Saved in:
22
Score-driven models for realized volatility
Harvey, Andrew C.
;
Palumbo, Dario
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10014471522
Saved in:
23
The effect of uncertainty on stock market volatility and correlation
Asgharian, Hossein
;
Christiansen, Charlotte
;
Hou, Ai Jun
- In:
Journal of banking & finance
154
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014486544
Saved in:
24
Tail risk forecasting of realized volatility CAViaR models
Chen, Cathy W. S.
;
Hsu, Hsiao-Yun
;
Watanabe, Toshiaki
- In:
Finance research letters
51
(
2023
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014304842
Saved in:
25
Do we need stochastic volatility and generalised autoregressive conditional heteroscedasticity? Comparing squared end-of-day returns on ftse
Allen, David E.
;
McAleer, Michael
- In:
Risks
8
(
2020
)
1
,
pp. 1-20
crude variant of Corsi's (2009) Heterogeneous Autoregressive (
HAR
)
model
, applied to squared demeaned daily returns on FTSE …
Persistent link: https://www.econbiz.de/10013200547
Saved in:
26
Stochastic volatility and GARCH: Do squared end-of-day returns provide similar information?
Allen, David E.
- In:
Journal of Risk and Financial Management
13
(
2020
)
9
,
pp. 1-26
variant of Corsi's (2009) Heterogenous Auto-Regressive (
HAR
)
model
, applied to squared demeaned daily returns on the indices …
Persistent link: https://www.econbiz.de/10012611433
Saved in:
27
Stochastic volatility and GARCH : do squared end-of-day returns provide similar information?
Allen, David E.
- In:
Journal of risk and financial management : JRFM
13
(
2020
)
9/202
,
pp. 1-26
variant of Corsi’s (2009) Heterogenous Auto-Regressive (
HAR
)
model
, applied to squared demeaned daily returns on the indices …
Persistent link: https://www.econbiz.de/10012384599
Saved in:
28
Do we need stochastic volatility and generalised autoregressive conditional heteroscedasticity? : Comparing squared end-of-day returns on ftse
Allen, David E.
;
McAleer, Michael
- In:
Risks : open access journal
8
(
2020
)
1/12
,
pp. 1-20
crude variant of Corsi’s (2009) Heterogeneous Autoregressive (
HAR
)
model
, applied to squared demeaned daily returns on FTSE …
Persistent link: https://www.econbiz.de/10012203997
Saved in:
29
Long memory, realized volatility and HAR models
Baillie, Richard
;
Calonaci, Fabio
;
Cho, Dooyeon
;
Rho, …
-
2019
the Heterogeneous Autoregressive (
HAR
)
model
and its extensions. This paper assesses the separate roles of fractionally …
Persistent link: https://www.econbiz.de/10012144225
Saved in:
30
Score-driven models for realized volatility
Harvey, Andrew C.
;
Palumbo, Dario
-
2019
Persistent link: https://www.econbiz.de/10012703124
Saved in:
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