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