Realized volatility forecast with the Bayesian random compressed multivariate HAR model (vol 36, pg 781, 2019)

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Luo, Jiawen

Chen, Langnan

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INTERNATIONAL JOURNAL OF FORECASTING | 2021年 / 37卷 / 03期

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F [经济];

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02 ;

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页码：1307 / 1307

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[1] Realized volatility forecast with the Bayesian random compressed multivariate HAR model
Luo, Jiawen
Chen, Langnan
[J]. INTERNATIONAL JOURNAL OF FORECASTING, 2020, 36 (03) : 781 - 799
[2] A novel cluster HAR-type model for forecasting realized volatility (vol 35, pg 1318, 2019)
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Izzeldin, Marwan
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[J]. INTERNATIONAL JOURNAL OF FORECASTING, 2021, 37 (03) : 1327 - 1327
[3] A Model Confidence Set approach to the combination of multivariate volatility forecasts (vol 36, pg 873, 2020)
Amendola, Alessandra
Braione, Manuela
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Storti, Giuseppe
[J]. INTERNATIONAL JOURNAL OF FORECASTING, 2021, 37 (03) : 1316 - 1316
[4] Realized power variation and stochastic volatility model (vol 9, pg 243, 2003)
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[J]. BERNOULLI, 2003, 9 (06) : 1109 - 1111
[5] Trading and non-trading period realized market volatility: Does it matter for forecasting the volatility of US stocks? (vol 36, pg 628, 2020)
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[J]. INTERNATIONAL JOURNAL OF FORECASTING, 2021, 37 (03) : 1310 - 1310
[6] FFORMA: Feature-based forecast model averaging (vol 36, pg 86, 2020)
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[J]. INTERNATIONAL JOURNAL OF FORECASTING, 2021, 37 (03) : 1311 - 1311
[7] Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors (vol 212, pg 137, 2019)
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[J]. JOURNAL OF ECONOMETRICS, 2022, 227 (02) : 506 - 512
[8] QUASI-BAYESIAN ESTIMATION OF TIME-VARYING VOLATILITY IN DSGE MODELS (vol 40, pg 151, 2019)
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[J]. JOURNAL OF TIME SERIES ANALYSIS, 2021, 42 (02) : 267 - 267
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[J]. INTERNATIONAL JOURNAL OF FORECASTING, 2021, 37 (03) : 1330 - 1330
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