Forecasting realized volatility: a review

DOI10.1016/j.jkss.2018.08.002zbMath1406.62129OpenAlexW2889541984WikidataQ129330283 ScholiaQ129330283MaRDI QIDQ1622112

Dong Wan Shin

Publication date: 12 November 2018

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2018.08.002

zbMATH Keywords

asymmetrycovariance matrixmarket microstructure noiselong-memoryrealized variancerealized covarianceHAR modelheterogeneous autoregressive (HAR) model

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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