HAR Modeling for Realized Volatility Forecasting

By Fulvio Corsi, Francesco Audrino, Roberto Renò. 2012

76 citations recorded by the source corpus.

Subfields: Finance, Global and Planetary Change

View Paper: https://www.semanticscholar.org/paper/c0c914d355e8695312bf8a536a030ca76aa2d97e

Citations in the corpus

• Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics (2016, unknown): “Although most work is done in the direction of extending the HAR model (see the recent review of Corsi et al., 2012), there are two notable exception: Craioveanu and Hillebrand (2010) investigate the structure of the HAR model and find no benefit in allowing for a more flexible structure of lag…”