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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Main Authors: | , , |
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Format: | Article |
Language: | English |
Published: |
Wiley
2020-01-01
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Series: | Discrete Dynamics in Nature and Society |
Online Access: | http://dx.doi.org/10.1155/2020/3151473 |
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