Forecasting Volatility with Time-Varying Coefficient Regressions

We extend the heterogeneous autoregressive- (HAR-) type models by explicitly considering the time variation of coefficients in a Bayesian framework and comprehensively comparing the performances of these time-varying coefficient models and constant coefficient models in forecasting the volatility of...

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Bibliographic Details
Main Authors: Qifeng Zhu, Miman You, Shan Wu
Format: Article
Language:English
Published: Wiley 2020-01-01
Series:Discrete Dynamics in Nature and Society
Online Access:http://dx.doi.org/10.1155/2020/3151473
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