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Flexible HAR model for realized volatility

Studies in Nonlinear Dynamics and Econometrics 2018 / 11

Flexible HAR model for realized volatility

Audrino, Francesco, Huang, Chen, Okhrin, Ostap
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Language:
english
Journal:
Studies in Nonlinear Dynamics & Econometrics
DOI:
10.1515/snde-2017-0080
Date:
November, 2018
File:
PDF, 3.59 MB
english, 2018
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