Luo, Jiawen; Chen, Zhenbiao; Wang, Shengquan - In: Journal of management science and engineering 8 (2023) 2, pp. 214-243
We forecast realized volatilities by developing a time-varying heterogeneous autoregressive (HAR) latent factor model with dynamic model average (DMA) and dynamic model selection (DMS) approaches. The number of latent factors is determined using Chan and Grant's (2016) deviation information...
