An integrated heteroscedastic autoregressive model for forecasting realized volatilities
Author:
Funder
National Research Foundation of Korea (NRF)
Publisher
Springer Science and Business Media LLC
Subject
Statistics and Probability
Reference26 articles.
1. Roughing it up: Including jump components in the measurement, modeling, and forecasting of return volatility;Andersen;The Review of Economics and Statistics,2007
2. The distribution of realized stock return volatility;Andersen;Journal of Financial Economics,2001
3. Modeling and forecasting realized volatility (No. w8160);Andersen,2001
4. The distribution of realized exchange rate volatility;Andersen;Journal of the American Statistical Association,2001
5. Disentangling systematic and idiosyncratic dynamics in panels of volatility measures;Barigozzi;Journal of Econometrics,2014
Cited by 10 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Forecasting Volatility Based on a New Combined HAR-Type Model with Long Memory and Switching Regime: Empirical Evidence from Equity Realized Volatility;Journal of Mathematical Finance;2024
2. How to improve oil consumption forecast using google trends from online big data?: the structured regularization methods for large vector autoregressive model;Communications for Statistical Applications and Methods;2022-01-31
3. How to improve oil consumption forecast using google trends from online big data?: the structured regularization methods for large vector autoregressive model;Communications for Statistical Applications and Methods;2022-01-31
4. A moving average heterogeneous autoregressive model for forecasting the realized volatility of the US stock market: Evidence from over a century of data;International Journal of Finance & Economics;2020-08-15
5. Forecasting realized volatility: A review;Journal of the Korean Statistical Society;2018-12
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3