Flexible HAR model for realized volatility (Q2697034)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Flexible HAR model for realized volatility |
scientific article |
Statements
Flexible HAR model for realized volatility (English)
0 references
17 April 2023
0 references
heterogeneous autoregressive model
0 references
realized volatility
0 references
lag structure
0 references
adaptive LASSO
0 references
hypothesis testing
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
