Evaluating Realized Volatility Models with Higher Order Cumulants: HAR-RV Versus ARIMA-RV
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Publisher
Springer International Publishing
Link
http://link.springer.com/content/pdf/10.1007/978-3-030-11833-4_21
Reference26 articles.
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3. Andersen, T. G., Bollerslev, T., Frederiksen, P., & Nielsen, M. O. (2010). Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns. Journal of Applied Econometrics, 25(2), 233–261.
4. Andreou, E., Pittis, N., & Spanos, A. (2001). On modelling speculative prices: The empirical literature. Journal of Economic Surveys, 15(2), 187–220.
5. Audrino, F., & Knaus, S. (2016). Lassoing the HAR model: A model selection perspective on realized volatility dynamics. Econometric Reviews, 35(8–10), 1485–1521.
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