Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling

By Fulvio Corsi, Roberto Renò. 2012

310 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/5d11e88f3ef80ace4726ccf6bf0349fdb87f514d

Citations in the corpus

• HAR Modeling for Realized Volatility Forecasting (2012, unknown): “Such an investigation is carried out in [39].”
• Two are better than one: Volatility forecasting using multiplicative component GARCH‐MIDAS models (2020, unknown): “We employ the HAR model of Corsi (2009) and the HAR model with leverage effect proposed in Corsi and Reno (2012).”