Kir1804 / Realized-volatility-forecasting-LASSO-approach-and-HARLinks
Based on the approaches which are presented in "Forecasting Realised Volatility: Does the LASSO approach outperform HAR?" (Yi Ding, Dimos Kambouroudis & David G McMillan, 2021) I predict realized volatility for different indices (UK, USA, Germany and others)
☆10Updated 3 years ago
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