Search Results - subject:"HAR-RV model"

The business cycle's impact on volatility forecasting : recapturing intrinsic jump components

Chen, Son-nan; Hsu, Pao-Peng - In: Risks : open access journal 13 (2025) 11, pp. 1-17

across economic expansions and contractions. We extend the heterogeneous autoregressive-realized volatility (HAR-RV) model by …

Persistent link: https://www.econbiz.de/10015556015

Forecasting volatility of China's crude oil futures based on hybrid ML-HAR-RV models

Hu, Genhua; Ma, Xiaoqing; Zhu, Tingting - In: The North American journal of economics and finance : a … 78 (2025), pp. 1-26

Persistent link: https://www.econbiz.de/10015434565

Asymmetric volatility transmission across Northeast Asian stock markets

Lee, Woo Suk; Lee, Hahn-shik - In: Borsa Istanbul Review 22 (2022) 2, pp. 341-351

This paper investigates various aspects of asymmetric connectedness among the stock markets in China, Japan, and Korea. Based on the realized semi-volatility indices, we find that the impact of bad volatility strictly dominates good volatility in generating transmission across the Northeast...

Persistent link: https://www.econbiz.de/10013184285

Asymmetric volatility transmission across Northeast Asian stock markets

Lee, Woo Suk; Lee, Hahn-shik - In: Borsa İstanbul Review 22 (2022) 2, pp. 341-351

Persistent link: https://www.econbiz.de/10015635905

Regime-dependent effects of macroeconomic uncertainty on realized volatility in the US stock market

Liu, Wei; Garrett, Ian - In: Economic modelling 128 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014464307

Forecasting realized volatility of Chinese stock market : a simple but efficient truncated approach

Wen, Danyan; He, Mengxi; Zhang, Yaojie; Wang, Yudong - In: Journal of forecasting 41 (2022) 2, pp. 230-251

Persistent link: https://www.econbiz.de/10012817722

A multivariate HAR-RV model with heteroscedastic errors and its WLS estimation

Hwang, Eunju; Hong, Wontack - In: Economics letters 203 (2021), pp. 1-5

Persistent link: https://www.econbiz.de/10012607334

Forecasting realized volatility of crude oil futures with equity market uncertainty

Wen, Fenghua; Zhao, Yupei; Zhang, Minzhi; Hu, Chunyang - In: Applied economics 51 (2019) 59, pp. 6411-6427

Persistent link: https://www.econbiz.de/10012197349

Forecasting international equity market volatility : a new approach

Liang, Chao; Li, Yan; Ma, Feng; Zhang, Yaojie - In: Journal of forecasting 41 (2022) 7, pp. 1433-1457

Persistent link: https://www.econbiz.de/10013465704

Forecasting the volatility of crude oil futures using HAR-type models with structural breaks

Wen, Fenghua; Gong, Xu; Cai, Shenghua - In: Energy economics 59 (2016), pp. 400-413

Persistent link: https://www.econbiz.de/10011699710