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Publications by Simon Knaus
Lassoing the Har Model: A Model Selection Perspective on Realized Volatility Dynamics
SSRN Electronic Journal
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Realized Volatility of Precious Metal Returns: HAR-RV
Modeling and Forecasting Financial Volatilities Using a Joint Model for Range and Realized Volatility
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Sparse Change-Point Har Models for Realized Variance
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Does Partisan Conflict Predict a Reduction in US Stock Market (Realized) Volatility? Evidence From a Quantile-On-Quantile Regression Model☆
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Sparse Change-Point HAR Models for Realized Variance
Econometric Reviews
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Measuring Volatility With the Realized Range
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Volatility of Volatility: A Simple Model-Free Motivation
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Dynamic Option Pricing Model Based on the Realized-Garch-Nig Approach
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Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility
SSRN Electronic Journal