HAR Model
Forecasting Realized Volatility with Linear and Nonlinear Univariate Models
... (HAR) model; the flexible HAR model where cumulated returns over one to 200 days and average past volatility over one to 60 days are initially included as possible regressors; the neural ...
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Forecasting Realized Volatility with Linear and Nonlinear Models
... linear HAR model and the nonlinear HAR model estimated with Bayesian regularization (NN-HAR (BR)) are the two best ...standard HAR specification is not much worse. On the other ...
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Forecast Bitcoin Volatility with Least Squares Model Averaging
... conventional HAR model from a model selection perspective; see, ...the HAR model survive the tests based on the least absolute shrinkage and selection operator (LASSO) and the adaptive ...
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Forecasting Volatility with Copula-Based Time Series Models
... C-RV model with its different copula specifications and the log-HAR ...C-RV model with the Gumbel and conditional Gumbel copula specifications over the MSPE of the forecasts obtained from the ...
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HAR Modeling for Realized Volatility Forecasting
... Table 1.2 R 2 of Mincer-Zarnowitz regressions for out-of-sample forecasts for horizons h = 1 (one day), h = 5 (one week), h = 10 (two weeks) and h = 22 (one month) of the S&P500 from January 1990 to February 2009 ...
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Modeling tick-by-tick realized correlations
... our model against a number of competitors using different goodness-of-fit statistics, to verify whether the greater flexibility allowed by the tree-HAR model (with a corresponding higher number of ...
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Volatility Forecasting: Downside Risk, Jumps and Leverage Effect
... The HAR-RV model in logarithmic form generally has a good out-of-sample forecasting ...the HAR model for the realized variation, which yielded the lowest forecasting power among all the ...
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Forecasting oil price realized volatility using information channels from other asset classes
... AutoRegressive model for Realized Volatility (HAR-RV), which we extend in a number of ...various HAR-RV-X models), which are categorized into four different asset classes (Stocks, Forex, Commodities ...
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Are there Structural Breaks in Realized Volatility?
... a HAR model for volatility and allow for GARCH effects in the conditional ...a HAR-GARCH model for ...GARCH model and the estimated break point is identical to that of the homoskedastic ...
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Forecasting oil price realized volatility: A new approach
... a HAR model for their forecasting ...the HAR-RV model, in order to capture whether the jump detection produces better ...simple HAR-RV ...
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Linear and nonlinear models for forecasting the realized volatility of cryptocurrencies
... FNN-HAR model, which should be able to "memorize" information thanks to its input variables equal to those of HAR-RV, but also the model is nonlinear because of the activation function ...
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Detecting instabilities in tree-ring proxy calibration
... period(s). Finally, model performance is assessed using sev- eral statistics typically used in dendroclimatology: R, RE, CE and DW. Here, R stands for the well-known correlation coefficient. RE stands for the ...
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Social Background of Followers of Sodhis of Guru Har Sahai in Punjab
... them necessary requirements like beds and other necessities of daily life. Afterwards, the government issued them a grant of Rupees two thousand per family to resettle themself. These people who had already borne the ...
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Frivillig arbeid: Egoistisk altruisme?
... Hvordan intervjuet utvikler seg avhenger videre av kommunikasjon mellom forsker og respondent. Nye spørsmål springer ut av tidligere svar, slik at det blir en halvstrukturert samtale fremfor en strukturert utspørring. ...
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The velocity of the arterial pulse wave: a viscous-fluid shock wave in an elastic tube
... a model for arterial blood flow in which viscosity results in shear force on the inner wall of an artery and the pressure gradient is a simple har- monic function of time, e iωt ...this model, is a ...
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Ungdom og losoppfølging : ”Hvordan opplever ungdom med skolefravær sin situasjon og å motta oppfølging fra en los”
... mobbingen har opphørt(Berg, 2005). Det er de voksne som har ansvaret for å tilrettelegge slik at skolemiljøet oppleves som fritt for krenkende atferd og et godt sted å være (Berg, ...handlinger har ...
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A data fusion-based hybrid sensory system for older people’s daily activity recognition.
... activities by mining the informative data from wearable sensors using machine learning algorithms. WSHAR can function in a relatively large space. Currently, smartphone, smartwatch, smart clothes, and other ...
209
Tiden med inflasjonsmål : hva har Norges Bank styrt etter?
... som har ment at utfordringene ved å identifisere og måle om vi har en boble 12 i økonomien taler for at pengepolitikken ikke skal siktes inn mot å hindre finansiell ustabilitet (Greenspan, ...synet ...
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Ansatteopsjoner ved Oslo Børs : en empirisk analyse av utbredelse og verdsetting
... Av selskapene i utvalget er det kartlagt hvilke som bruker ansatteopsjoner. Mer spesifikt hvilke selskaper som hadde utestående opsjoner per 31.12.2013. Utestående opsjoner er opsjoner som er utstedt og fortsatt kan ...
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Har holdningen til økologisk jordbrug konsekvenser for valget af forskningsmetoder?
... der har været toneangivende i udviklingen af økologisk jordbrug i Danmark i ...jeg har opfattet den i mit arbejde med økologisk jordbrug i de sidste 15 ...
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