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

SSRN Electronic Journal
doi 10.2139/ssrn.2340051
Full Text
Abstract

Available in full text

Date
Authors
Publisher

Elsevier BV

Related search

Realized Volatility of Precious Metal Returns: HAR-RV

2017English

Modeling and Forecasting Financial Volatilities Using a Joint Model for Range and Realized Volatility

Open Journal of Business and Management
2016English

Sparse Change-Point Har Models for Realized Variance

SSRN Electronic Journal
2016English

Does Partisan Conflict Predict a Reduction in US Stock Market (Realized) Volatility? Evidence From a Quantile-On-Quantile Regression Model☆

North American Journal of Economics and Finance
EconomicsEconometricsFinance
2018English

Sparse Change-Point HAR Models for Realized Variance

Econometric Reviews
EconomicsEconometrics
2018English

Measuring Volatility With the Realized Range

Journal of Econometrics
Philosophy of ScienceApplied MathematicsEconomicsEconometricsHistory
2007English

Volatility of Volatility: A Simple Model-Free Motivation

Wilmott
2012English

Dynamic Option Pricing Model Based on the Realized-Garch-Nig Approach

Open Journal of Social Sciences
2016English

Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility

SSRN Electronic Journal
2011English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2025 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy