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A practical guide to harnessing the HAR volatility model

Clements, Adam; Preve, Daniel P. A. - In: Journal of banking & finance 133 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10013256626

Vector autoregressions with parsimoniously time varying parameters and an application to monetary policy

Callot, Laurent; Kristensen, Johannes Tang - 2014

This paper proposes a parsimoniously time varying parameter vector autoregressive model (with exogenous variables, VARX) and studies the properties of the Lasso and adaptive Lasso as estimators of this model. The parameters of the model are assumed to follow parsimonious random walks, where...

Persistent link: https://www.econbiz.de/10010433901

Missing observations in observation-driven time series models

Blasques, Francisco; Gorgi, Paolo; Koopman, Siem Jan - 2018

generally, to observation-driven models, which include well-known models for conditional volatility. To overcome the problem of … Monte Carlo study and an empirical study concerning the measurement of conditional volatility from financial returns data. …

Persistent link: https://www.econbiz.de/10011794421