Lassoing the HAR model: a model selection perspective on realized volatility dynamics

DOI10.1080/07474938.2015.1092801MaRDI QIDQ5864510zbMATH OpenOpenAlexFDO

Authors Francesco Audrino, Simon D. Knaus

Publication date 7 June 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL http://ux-tauri.unisg.ch/RePEc/usg/econwp/EWP-1224.pdf

zbMATH Keywords

heterogeneous autoregressive modelLassomodel selectionrealized volatility

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

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• Generalized autoregressive conditional heteroscedasticity
• Handbook of Volatility Models and Their Applications
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• Integrated variance forecasting: model based vs. reduced form
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• The Adaptive Lasso and Its Oracle Properties
• The Distribution of Realized Exchange Rate Volatility

Cited in

(12)

• Forecasting realized volatility: a review
• Chasing volatility. A persistent multiplicative error model with jumps
• Specification and structural break tests for additive models with applications to realized variance data
• Flexible HAR model for realized volatility
• Jumps and oil futures volatility forecasting: a new insight
• Adaptive Lasso for vector multiplicative error models
• Sparse change-point HAR models for realized variance
• Model Selection and Shrinkage: An Overview
• Benefit volatility-targeting strategies in lifetime pension pools
• Change-points and functional features of intraday volatility in China stock market
• Options-driven volatility forecasting
• \(\ell_1\)-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors

Describes a project that uses

Uses Software

• glmnet

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