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Search: subject:"VecHAR"
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Bipower variation
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HAR
3
Heterogeneous Autoregressive Model
3
VecHAR
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implied volatility
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jumps
3
realized volatility
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volatility forecasting
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options
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bond futures options
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Busch, Thomas
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Christensen, Bent Jesper
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Nielsen, Morten Ørregaard
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Economics Department, Queen's University
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School of Economics and Management, University of Aarhus
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The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets
Busch, Thomas
;
Christensen, Bent Jesper
;
Nielsen, …
-
Economics Department, Queen's University
-
2008
an additional forecasting variable. A vector HAR (
VecHAR
) model for the resulting simultaneous system is introduced …
Persistent link: https://www.econbiz.de/10004979472
Saved in:
2
The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets
Busch, Thomas
;
Christensen, Bent Jesper
;
Nielsen, …
-
School of Economics and Management, University of Aarhus
-
2007
an additional forecasting variable. A vector HAR (
VecHAR
) model for the resulting simultaneous system is introduced …
Persistent link: https://www.econbiz.de/10005004428
Saved in:
3
The Information Content of Treasury Bond Options Concerning Future Volatility and Price Jumps
Busch, Thomas
;
Christensen, Bent Jesper
;
Nielsen, …
-
Economics Department, Queen's University
-
2006
. We also introduce a new vector HAR (
VecHAR
) model for the resulting simultaneous system, controlling for possible …
Persistent link: https://www.econbiz.de/10005653084
Saved in:
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