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Modeling and forecasting the multivariate realized volatility of financial markets with time-varying sparsity

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Forecasting multivariate volatilities with exogenous predictors : an application to industry diversification strategies

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Realized volatility forecast of financial futures using time-varying HAR latent factor models

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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...

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