Luong, Chuong; Dokučaev, Nikolaj G. - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-15
autoregressive model (HAR) and machine learning techniques. We consider an extended version of the existing HAR model with included …The paper addresses the forecasting of realised volatility for financial time series using the heterogeneous …