A forest full of risk forecasts for managing volatility
O Kleen, A Tetereva - Available at SSRN 4161957, 2022 - papers.ssrn.com
We propose a novel approach to cross-sectional forecasting of stock return volatility, by
utilizing a heterogeneous autoregressive (HAR) model with time-varying parameters in the …
utilizing a heterogeneous autoregressive (HAR) model with time-varying parameters in the …
[PDF][PDF] A forest full of HAR models
O Kleen, A Tetereva - 2022 - congress-files.s3.amazonaws.com
We propose a heterogeneous autoregressive (HAR) model with time-varying parameters in
the form of a local linear random forest. In contrast to conventional random forests that …
the form of a local linear random forest. In contrast to conventional random forests that …
[PDF][PDF] On modelling the multivariate Realized Kernel financial time series
E OTRANTO - iris.unime.it
In this chapter, I briefly review the concept of volatility, its main features and problems that
can arise during its measurement. Then I introduce the topic of high frequency (HF) data, by …
can arise during its measurement. Then I introduce the topic of high frequency (HF) data, by …
On modelling the multivariate Realized Kernel financial time series
A Costa - 2020 - tesidottorato.depositolegale.it
It is widely known that financial time series are characterized by very complex patterns and
dynamics, that have to be accounting in estimation and forecasting analysis. Multivariate …
dynamics, that have to be accounting in estimation and forecasting analysis. Multivariate …