Forecasting realized volatility in a changing world: A dynamic model averaging approach

In this study, we forecast the realized volatility of the S&P 500 index using the heterogeneous autoregressive model for realized volatility (HAR-RV) and its various extensions. Our models take into account the time-varying property of the models’ parameters and the volatility of realized volati...

Full description

Saved in:

Bibliographic Details
Published in:	Journal of banking & finance Vol. 64; pp. 136 - 149
Main Authors:	Wang, Yudong, Ma, Feng, Wei, Yu, Wu, Chongfeng
Format:	Journal Article
Language:	English
Published:	Amsterdam Elsevier B.V 01.03.2016 Elsevier Sequoia S.A
Subjects:	Averaging Dynamic model averaging Econometrics Economic models Forecasting Forecasting techniques Portfolio Realized volatility S&P 500 index Securities markets Studies Time-varying parameters Volatility S&P 500 index C22 Realized volatility Time-varying parameters C58 Portfolio G13 G14 Dynamic model averaging
ISSN:	0378-4266, 1872-6372
Online Access:	Get full text
Tags:	Add Tag No Tags, Be the first to tag this record!

Be the first to leave a comment!