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HAR Modeling for Realized Volatility Forecasting

Francesco Audrino, Fulvio Corsi & Roberto Reno

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type book chapter (English)
   
keywords
   
book title Handbook of Volatility Models and their Applications
date of appearance 2012
publisher Wiley (Hoboken, N.J.)
series title Wiley handbooks in financial engineering and econometrics
ISBN 978-0-470-87251-2
page(s) 363-382
profile area SEPS - Quantitative Economic Methods
citation Audrino, F., Corsi, F., & Reno, R. (2012). HAR Modeling for Realized Volatility Forecasting. In Handbook of Volatility Models and their Applications (pp. 363-382). Hoboken, N.J.: Wiley. - ISBN 978-0-470-87251-2.