Craioveanu, Mihaela; Hillebrand, Eric - Department of Economics and Finance, University of … - 2012
The lag structure (1,5,21) is most commonly used for the HAR-RV model for realized volatility (Corsi 2009), where the terms are thought to represent a daily, a weekly, and a monthly time scale. The aggregation of the three scales approximates long mem- ory. We explore flexible lag selection for...