A Practical Guide to harnessing the HAR volatility model
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DOI: 10.1016/j.jbankfin.2021.106285
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- A Clements & D Preve, 2019. "A Practical Guide to Harnessing the HAR Volatility Model," NCER Working Paper Series 120, National Centre for Econometric Research.
References listed on IDEAS
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More about this item
Keywords
Volatility forecasting; Realized variance; HAR; HARQ; Robust regression; Weighted least squares; Box-Cox transformation; Forecast comparisons; QLIKE; MSE; VaR; Model confidence set;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
Statistics
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