A practical guide to harnessing the HAR volatility model
Year of publication: |
2021
|
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Authors: | Clements, Adam ; Preve, Daniel P. A. |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 133.2021, p. 1-16
|
Subject: | Box-Cox transformation | Forecast comparisons | HAR | HARQ | Model confidence set | MSE | QLIKE | Realized variance | Robust regression | VaR | Volatility forecasting | Weighted least squares | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory |
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