GARMA, HAR and rules of thumb for modelling realized volatility
Year of publication: |
2023
|
---|---|
Authors: | Allen, David E. ; Peiris, Shelton |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 11.2023, 10, Art.-No. 179, p. 1-15
|
Subject: | GARMA | Gegenbauer processes | HAR models | realized volatility | rules of thumb |
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