On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model
نویسندگان
چکیده
منابع مشابه
Modelling and forecasting noisy realized volatility
Several methods have recently been proposed in the ultra high frequency financial literature to remove the effects of microstructure noise and to obtain consistent estimates of the integrated volatility (IV) as a measure of ex-post daily volatility. Even bias-corrected and consistent (modified) realized volatility (RV) estimates of the integrated volatility can contain residual microstructure n...
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ژورنال
عنوان ژورنال: Journal of Forecasting
سال: 2016
ISSN: 0277-6693
DOI: 10.1002/for.2423