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Search: subject:"VecHAR"
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jumps
HAR
5
Heterogeneous Autoregressive Model
5
VecHAR
5
implied volatility
5
realized volatility
5
volatility forecasting
5
Bipower variation
3
options
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Volatilität
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bipower variation
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bond futures options
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Busch, Thomas
5
Christensen, Bent Jesper
5
Nielsen, Morten Ørregaard
5
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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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Queen's Economics Department Working Paper
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1
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, …
-
2008
an additional forecasting variable. A vector HAR (
VecHAR
) model for the resulting simultaneous system is introduced …
Persistent link: https://www.econbiz.de/10010290353
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, …
-
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:
3
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:
4
The information content of treasury bond options concerning future volatility and price jumps
Busch, Thomas
;
Christensen, Bent Jesper
;
Nielsen, …
-
2006
. We also introduce a new vector HAR (
VecHAR
) model for the resulting simultaneous system, controlling for possible …
Persistent link: https://www.econbiz.de/10010290465
Saved in:
5
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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