Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics

DOI10.1080/07474938.2015.1092801zbMath1491.62149OpenAlexW1823577794MaRDI QIDQ5864510

Simon D. Knaus, Francesco Audrino

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

model selectionrealized volatilityLassoheterogeneous autoregressive model

Mathematics Subject Classification ID

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

Related Items (9)

Forecasting realized volatility: a review ⋮ \(\ell_1\)-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors ⋮ Flexible HAR model for realized volatility ⋮ Adaptive Lasso for vector Multiplicative Error Models ⋮ Chasing volatility. A persistent multiplicative error model with jumps ⋮ Sparse Change-point HAR Models for Realized Variance ⋮ Jumps and oil futures volatility forecasting: a new insight ⋮ Model Selection and Shrinkage: An Overview ⋮ Specification and structural break tests for additive models with applications to realized variance data

Uses Software

• glmnet

Cites Work

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• The Distribution of Realized Exchange Rate Volatility
• Regression coefficient and autoregressive order shrinkage and selection via the lasso
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• Handbook of Volatility Models and Their Applications
• A Tale of Two Time Scales

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