Search Results - subject:"HAR models"

Impact of crude oil volatility jumps on sustainable investments : evidence from India

Dutta, Anupam; Kanjilal, Kakali; Ghosh, Sajal; Park, … - In: The journal of futures markets 43 (2023) 10, pp. 1450-1468

Persistent link: https://www.econbiz.de/10014339454

GARMA, HAR and rules of thumb for modelling realized volatility

Allen, David E.; Peiris, Shelton - In: Risks : open access journal 11 (2023) 10, pp. 1-15

, GARMA, as opposed to Heterogenous Auto-Regressive HAR models and simple rules of thumb. The analysis is applied to two data …

Persistent link: https://www.econbiz.de/10014393082

Forecasting Realized Volatility of Agricultural Commodity Futures with Infinite Hidden Markov HAR Models

Luo, Jiawen; Klein, Tony; Ji, Qiang; Hou, Chenghan - 2019

We construct a set of HAR models with three types of infinite Hidden Markov regime switching structures. Particularly … evaluation results suggest that HAR models with infinite Hidden Markov regime switching structures have better precision compared … the benchmark HAR models based on the MZ-R², MAFE, and MCS results. The economic evaluation results suggest that …

Persistent link: https://www.econbiz.de/10014284459

Modeling and forecasting realized portfolio diversification benefits

Golosnoy, Vasyl; Hildebrandt, Benno; Köhler, Steffen - In: Journal of Risk and Financial Management 12 (2019) 3, pp. 1-16

For a financial portfolio, we suggest a realized measure of diversification benefits, which is based on intraday high-frequency returns. Our measure quantifies volatility reduction, which could be achieved by including an additional asset in the portfolio. In order to make our approach feasible...

Persistent link: https://www.econbiz.de/10012611187

Modeling and forecasting realized portfolio diversification benefits

Golosnoy, Vasyl; Hildebrandt, Benno; Köhler, Steffen - In: Journal of risk and financial management : JRFM 12 (2019) 3/116, pp. 1-16

Persistent link: https://www.econbiz.de/10012027057

Asymmetric Risk Impacts of Chinese Tourists to Taiwan

Chang, Chia-Lin; Hsu, Shu-Han; McAleer, Michael - 2018

shocks, as well as symmetric, asymmetric and leverage effects. Three different Heterogeneous AutoRegressive (HAR) models, HAR …

Persistent link: https://www.econbiz.de/10011932318

Asymmetric risk impacts of Chinese tourists to Taiwan

Chang, Chia-Lin; Hsu, Shu-Han; McAleer, Michael - 2018

shocks, as well as symmetric, asymmetric and leverage effects. Three different Heterogeneous Auto Regressive (HAR) models …

Persistent link: https://www.econbiz.de/10011848107

Time-Varying Volatility Asymmetry: A Conditioned HAR-RV(CJ) EGARCH-M Model

Ceylan, Ozcan - Galatasaray Üniversitesi İktisadi Araştırmalar … - 2012

Based on the recent developments in the high-frequency econometrics and asymmetric GARCH modeling literature, I develop a novel model that accounts for the volatility feedback and leverage effects, effectively incorporating signed continuous and jump components of the realized variance in the...

Persistent link: https://www.econbiz.de/10010840309