Realized volatility forecast of financial futures using time-varying HAR latent factor models

Realized volatility forecast of financial futures using time-varying HAR latent factor models

We forecast realized volatilities by developing a time-varying heterogeneous autoregressive (HAR) latent factor model with dynamic model average (DMA) and dynamic model selection (DMS) approaches. The number of latent factors is determined using Chan and Grant's (2016) deviation information cri...

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Podrobná bibliografie
Hlavní autoři: Jiawen Luo, Zhenbiao Chen, Shengquan Wang
Médium: Článek
Jazyk:English
Vydáno: KeAi Communications Co., Ltd. 2023-06-01
Edice:Journal of Management Science and Engineering
Témata:
Realized volatility forecast
HAR latent factor models
Bayesian approaches
Time-varying
Stock index
Treasury bond futures
On-line přístup:http://www.sciencedirect.com/science/article/pii/S2096232022000580

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http://www.sciencedirect.com/science/article/pii/S2096232022000580

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