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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
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Structural breaks in Box-Cox transforms of realized volatility : a model selection perspective
Behrendt, Simon - In: Quantitative finance 21 (2021) 11, pp. 1905-1919
Persistent link: https://www.econbiz.de/10012696795
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Day-of-the-week effect on the VIX : a parsimonious representation
Gonzalez-Perez, Maria T.; Guerrero, David E. - In: The North American journal of economics and finance : a … 25 (2013), pp. 243-260
Persistent link: https://www.econbiz.de/10009779259
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A practical guide to harnessing the HAR volatility model
Clements, Adam; Preve, Daniel P. A. - 2019
Persistent link: https://www.econbiz.de/10012431202