Realized volatility forecast with the Bayesian random compressed multivariate HAR model
Jiawen Luo, Langnan Chen
| Year of publication: |
2020
|
|---|---|
| Authors: | Luo, Jiawen ; Chen, Langnan |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 36.2020, 3, p. 781-799
|
| Subject: | Realized volatility forecast | Bayesian random compressed | Multivariate HAR model | Forecast precision evaluations | Economic evaluations | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Bayes-Statistik | Bayesian inference | Theorie | Theory | Multivariate Analyse | Multivariate analysis | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Erratum enthalten in: Volume 37, issue 3 (July/September 2021), Seite 1306-1307 |
| Other identifiers: | 10.1016/j.ijforecast.2019.09.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012496859