A novel cluster HAR-type model for forecasting realized volatility (vol 35, pg 1318, 2019)

被引:0
|
作者
Yao, Xingzhi
Izzeldin, Marwan
Li, Zhenxiong
机构
关键词
D O I
暂无
中图分类号
F [经济];
学科分类号
02 ;
摘要
引用
收藏
页码:1327 / 1327
页数:1
相关论文
共 50 条
  • [1] A novel cluster HAR-type model for forecasting realized volatility
    Yao, Xingzhi
    Izzeldin, Marwan
    Li, Zhenxiong
    [J]. INTERNATIONAL JOURNAL OF FORECASTING, 2019, 35 (04) : 1318 - 1331
  • [2] Forecasting volatility of the Chinese stock markets using TVP HAR-type models
    Liu, Guangqiang
    Wang, Yan
    Chen, Xiaodan
    Zhang, Yifeng
    Shang, Yue
    [J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2020, 542
  • [3] Realized volatility forecast with the Bayesian random compressed multivariate HAR model (vol 36, pg 781, 2019)
    Luo, Jiawen
    Chen, Langnan
    [J]. INTERNATIONAL JOURNAL OF FORECASTING, 2021, 37 (03) : 1307 - 1307
  • [4] Forecasting the volatility of crude oil futures using HAR-type models with structural breaks
    Wen, Fenghua
    Gong, Xu
    Cai, Shenghua
    [J]. ENERGY ECONOMICS, 2016, 59 : 400 - 413
  • [5] The HAR-type models with leverage and structural breaks and their applications to the volatility forecasting of stock market
    Gong, Xu
    Cao, Jie
    Wen, Fenghua
    Yang, Xiaoguang
    [J]. Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice, 2020, 40 (05): : 1113 - 1133
  • [6] Factor-augmented HAR model improves realized volatility forecasting
    Kim, Dongwoo
    Baek, Changryong
    [J]. APPLIED ECONOMICS LETTERS, 2020, 27 (12) : 1002 - 1009
  • [7] Modeling and Forecasting the Realized Volatility of Bitcoin using Realized HAR-GARCH-type Models with Jumps and Inverse Leverage Effect
    Zahid, Mamoona
    Iqbal, Farhat
    Raziq, Abdul
    Sheikh, Naveed
    [J]. SAINS MALAYSIANA, 2022, 51 (03): : 929 - 942
  • [8] Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity
    Tian, Fengping
    Yang, Ke
    Chen, Langnan
    [J]. INTERNATIONAL JOURNAL OF FORECASTING, 2017, 33 (01) : 132 - 152
  • [9] Realized volatility forecasting: Robustness to measurement errors (vol 37, pg 44, 2021)
    Cipollini, Fabrizio
    Gallo, Giampiero M.
    Otranto, Edoardo
    [J]. INTERNATIONAL JOURNAL OF FORECASTING, 2021, 37 (03) : 1317 - 1317
  • [10] Forecasting cryptocurrencies under model and parameter instability (vol 35, pg 485, 2019)
    Catania, Leopoldo
    Grassi, Stefano
    Ravazzolo, Francesco
    [J]. INTERNATIONAL JOURNAL OF FORECASTING, 2021, 37 (03) : 1323 - 1323