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Lassoing the HAR model : a model selection perspective on realized volatility dynamics

Audrino, Francesco; Knaus, Simon D. - In: Econometric reviews 35 (2016) 8/10, pp. 1485-1521

Persistent link: https://www.econbiz.de/10011592369

Essays in computational statistics with applications to volatility forecasting and forecast combination

Knaus, Simon D. - 2014

Der erste Aufsatz der vorliegenden Dissertation untersucht die Dynamik der realisierten Volatilität. Ein erfolgreiches Model in diesem Bereich ist das sogenannte heterogene auto-regressive Modell (HAR), das konzeptionell einfach und gut für Vorhersagen geeignet ist. Eine neue Herangehensweise...

Persistent link: https://www.econbiz.de/10010350528

A variance spillover analysis without covariances : what do we miss?

Fengler, Matthias; Gisler, Katja I. M. - In: Journal of international money and finance 51 (2015), pp. 174-195

Persistent link: https://www.econbiz.de/10011475252

Regularized estimation of structural instability in factor models : the US macroeconomy and the great moderation

Callot, Laurent; Kristensen, Johannes Tang - 2015

high dimensional by construction and sparse by assumption, is estimated using the Lasso. We apply this method to the …

Persistent link: https://www.econbiz.de/10010532582

Forecasting oil price volatility : forecast combination versus shrinkage method

Zhang, Yaojie; Wei, Yu; Zhang, Yi; Jin, Daxiang - In: Energy economics 80 (2019), pp. 423-433

Persistent link: https://www.econbiz.de/10012173653

Financial interconnectedness, amplification, and cross-border activity

Ikeda, Daisuke; Ojima, Mayumi; Takahashi, Koji - 2019

Persistent link: https://www.econbiz.de/10012182563

Uncertainty and crude oil market volatility : new evidence

Liang, Chao; Wei, Yu; Li, Xiafei; Zhang, Xuhui; Zhang, … - In: Applied economics 52 (2020) 27, pp. 2945-2959

Persistent link: https://www.econbiz.de/10012221463

Building news measures from textual data and an application to volatility forecasting

Caporin, Massimiliano; Poli, Francesco - In: Econometrics : open access journal 5 (2017) 3, pp. 1-46

We retrieve news stories and earnings announcements of the S&P 100 constituents from two professional news providers, along with ten macroeconomic indicators. We also gather data from Google Trends about these firms’ assets as an index of retail investors’ attention. Thus, we create an...

Persistent link: https://www.econbiz.de/10011711085

Price jump prediction in a limit order book

Zheng, Ban; Moulines, Eric; Abergel, Frédéric - In: Journal of mathematical finance 3 (2013) 2, pp. 242-255

Persistent link: https://www.econbiz.de/10010239589

Air pollution, weather factors, and realized volatility forecasts of agricultural commodity futures

Luo, Jiawen; Zhang, Qun - In: The journal of futures markets 44 (2024) 2, pp. 151-217

Persistent link: https://www.econbiz.de/10014475455