Search Results - subject:"Heterogeneous Autoregressive Model"

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Forecasting realized volatility using machine learning and mixed-frequency data (the case of the Russian stock market)

Pyrlik, Vladimir; Elizarov, Pavel; Leonova, Aleksandra - 2021

Persistent link: https://www.econbiz.de/10013163805

Multi-perspective investor attention and oil futures volatility forecasting

Qu, Hui; Li, Guo - In: Energy economics 119 (2023), pp. 1-13

Persistent link: https://www.econbiz.de/10014279697

Portfolio diversification during the COVID-19 pandemic : do vaccinations matter?

Pham, Son Duy; Nguyen, Thao Thac Thanh; Do, Hung Xuan; … - In: Journal of financial stability 65 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014289935

Volatility changes in cryptocurrencies : evidence from sparse VHAR-MGARCH model

Lee, Seungwon; Baek, Changryong - In: Applied economics letters 30 (2023) 11, pp. 1496-1504

Persistent link: https://www.econbiz.de/10014304401

Stock return predictability and variance risk premia around the ZLB

Ogawa, Toshiaki; Ubukata, Masato; Watanabe, Toshiaki - 2020

Persistent link: https://www.econbiz.de/10013461530

Volatility forecasting revisited using Markov-switching with time-varying probability transition

Wang, Jiqian; Ma, Feng; Liang, Chao; Chen, Zhonglu - In: International journal of finance & economics : IJFE 27 (2022) 1, pp. 1387-1400

Persistent link: https://www.econbiz.de/10012815077

Asymmetric multivariate HAR models for realized covariance matrix : a study based on volatility timing strategies

Qu, Hui; Zhang, Yi - In: Economic modelling 106 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013347668

Forecasting realized volatility of agricultural commodities

Degiannakis, Stavros; Filis, George; Klein, Tony; … - In: International journal of forecasting 38 (2022) 1, pp. 74-96

Persistent link: https://www.econbiz.de/10013347759

Forecasting of realised volatility with the random forests algorithm

Luong, Chuong; Dokučaev, Nikolaj G. - In: Journal of Risk and Financial Management 11 (2018) 4, pp. 1-15

autoregressive model (HAR) and machine learning techniques. We consider an extended version of the existing HAR model with included …The paper addresses the forecasting of realised volatility for financial time series using the heterogeneous …

Persistent link: https://www.econbiz.de/10012611068

Forecasting of realised volatility with the random forests algorithm

Luong, Chuong; Dokučaev, Nikolaj G. - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-15

Persistent link: https://www.econbiz.de/10011961374

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