Showing 1 - 2 of 2
Persistent link: https://www.econbiz.de/10012436127
We propose a heterogeneous autoregressive (HAR) model with time-varying parameters in the form of a local linear random forest. In contrast to conventional random forests that approximate the volatility nonparametrically using local averaging, the building blocks of our forest are HAR panel...
Persistent link: https://www.econbiz.de/10013404288