Harvesting the HAR-X Volatility Model
The study finds that low-frequency HARX models using public data can accurately predict asset price volatility, matching the original HAR model's accuracy.
Featured in No. 38 on 21 Feb 2024 · on release day · 1 citation today
- Released
- 21 Feb 2024
- First featured
- No. 38 · 21 Feb 2024
- Citations (Semantic Scholar)
- 1
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4733597
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