Time-varying parameter realized volatility models
From MaRDI portal
Recommendations
- Forecasting volatility with time-varying coefficient regressions
- Long memory, realized volatility and heterogeneous autoregressive models
- An integrated heteroscedastic autoregressive model for forecasting realized volatilities
- The Volatility of Realized Volatility
- Forecasting realized volatility: a review
Cited in
(15)- Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics
- Volatility analysis with realized GARCH-Itô models
- Realized power variation and stochastic volatility model
- Modeling market impact and timing risk in volume time
- Stochastic Volatility Model with Time‐dependent Skew
- Forecasting stock market volatility: the role of gold and exchange rate
- Uncertainty and fluctuation in crude oil price: evidence from machine learning models
- Simple factor realized stochastic volatility models
- Predicting stock realized variance based on an asymmetric robust regression approach
- scientific article; zbMATH DE number 6961166 (Why is no real title available?)
- Forecasting volatility with time-varying coefficient regressions
- Sparse change-point HAR models for realized variance
- Do we need the constant term in the heterogenous autoregressive model for forecasting realized volatilities?
- Volatility clustering in the presence of time-varying model parameters
- scientific article; zbMATH DE number 7523539 (Why is no real title available?)
This page was built for publication: Time-varying parameter realized volatility models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4687622)
