Lassoing the Har Model : A Model Selection Perspective on Realized Volatility Dynamics
Year of publication: |
2013
|
---|---|
Authors: | Audrino, Francesco |
Other Persons: | Knaus, Simon (contributor) |
Publisher: |
[2013]: [S.l.] : SSRN |
Subject: | Theorie | Theory | Volatilität | Volatility | Modellierung | Scientific modelling | Kointegration | Cointegration | Monte-Carlo-Simulation | Monte Carlo simulation |
Extent: | 1 Online-Ressource (54 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 14, 2013 erstellt |
Other identifiers: | 10.2139/ssrn.2340051 [DOI] |
Classification: | c58 ; C63 - Computational Techniques ; C49 - Econometric and Statistical Methods: Special Topics. Other |
Source: | ECONIS - Online Catalogue of the ZBW |
-
A Novel Cluster HAR-Type Model for Forecasting Realized Volatility
Yao, Xingzhi, (2019)
-
Lassoing the HAR model : a model selection perspective on realized volatility dynamics
Audrino, Francesco, (2016)
-
Lassoing the HAR model : a model selection perspective on realized volatility dynamics
Audrino, Francesco, (2012)
- More ...
-
Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics
Audrino, Francesco, (2012)
-
Testing the lag structure of assets’ realized volatility dynamics
Audrino, Francesco, (2015)
-
Audrino, Francesco, (2011)
- More ...