Forecasting Realized Volatility Using Subsample Averaging
Year of publication: |
2014-09
|
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Authors: | Lee, Tae-Hwy ; Huang, Huiyu |
Institutions: | Department of Economics, University of California-Riverside |
Keywords: | Subsample averaging. Forecast combination. High-frequency data. Realized volatility. ARFIMA model. HAR model |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Published in Open Journal of Statistics 3(5): 379-383. October 2013. Number 201410 9 pages longPages |
Classification: | C53 - Forecasting and Other Model Applications ; c58 ; G17 - Financial Forecasting |
Source: |
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