Flexible HAR model for realized volatility

DOI10.1515/snde-2017-0080OpenAlexW2507684129MaRDI QIDQ2697034

Chen Huang, Francesco Audrino, Ostap Okhrin

Publication date: 17 April 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2017-0080

zbMATH Keywords

hypothesis testingrealized volatilityadaptive LASSOheterogeneous autoregressive modellag structure

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Uses Software

• SuperLearner

Cites Work

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