Forecasting Realized Volatility
The paper highlights the improved forecast performance of a HAR model that uses the QLIKE loss for both out-of-sample forecast evaluation and in-sample parameter estimation.
Featured in No. 95 on 30 Apr 2025 · 2 days after release
- Released
- 28 Apr 2025
- First featured
- No. 95 · 30 Apr 2025
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 5233349
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).