Realising the future: forecasting with high frequency based volatility (HEAVY) models

By N. Shephard, Kevin Sheppard. 2010

444 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/379aac08e605d47e81c10ac1cdc606504e5b1b7d

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Citations in the corpus

Multivariate High-Frequency-Based Volatility (HEAVY) Models (2012, methodology): “t=1 lM;t( M ). For the BEKK model, Comte and Lieberman (2003) show strong consistency of QMLE by verifying the conditions given in Jeantheau (1998).”
Two are better than one: Volatility forecasting using multiplicative component GARCH‐MIDAS models (2020, unknown): “Further, we use the HEAVY model by Shephard and Sheppard (2010) and the realized GARCH model by Hansen et al. (2012).”
Combining density forecasts using focused scoring rules (2017, unknown): “A recently developed model that explicitly incorporates a realized measure in daily volatility models is the HEAVY model of Shephard and Sheppard (2010).”
The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures (2011, methodology): “Shephard and Sheppard (2010), Hansen, Huang, and Shek (2011b) and Dobrev and Szerszen (2010) follow similar strategies.”
Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility (2013, background): “…for realized volatility with either parametric or nonparametric estimators of conditional distributions, and the recent contributions by Brownlees & Gallo (2009), Shephard & Sheppard (2009) and Maheu & McCurdy (2010), who base their predictive densities on parametric return-based volatility models.”
Asymptotic Properties of GARCH-X Processes (2015, methodology): “See also Engle and Gallo (2006), Cipollini et al. (2007), Shephard and Sheppard (2010) and Hansen et al. (2010).”
REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY (2012, methodology): “A simplified MEM structure was proposed in Shephard and Sheppard (2010), who referred to their model as the HEAVY model.”
Exponential GARCH Modeling With Realized Measures of Volatility (2016, unknown): “This structure is also the basis for the model proposed by Shephard and Sheppard (2010), who referred to their model as the HEAVY model.”
Forecasting risk with Markov-switching GARCH models:A large-scale performance study (2018, methodology): “ity models such as the HEAVY model of Shephard and Sheppard (2010). Fourth, as suggested by a referee, it would be interesting to shed light on the parameter configurations for which the”