Predicting directional volatility: HAR model with machine learning integration

IF 1.2 4区经济学 Q3 ECONOMICS

Applied Economics Letters Pub Date : 2024-09-12 DOI:10.1080/13504851.2024.2401512

Xiaodu Xie, Adam Clements

引用次数: 0

Abstract

Empirical studies on volatility forecasting have predominantly concentrated on point or interval estimates. However, the study of directional changes in volatility remains a relatively underexplore...

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预测方向性波动：融合机器学习的 HAR 模型

关于波动率预测的实证研究主要集中在点或区间估计上。然而，对波动率方向性变化的研究仍然是一个相对缺乏探索的领域。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Applied Economics Letters ECONOMICS-

CiteScore

2.90

自引率

6.20%

发文量

460

期刊介绍： Applied Economics Letters is a companion journal to Applied Economics and Applied Financial Economics. It publishes short accounts of new original research and encourages discussion of papers previously published in its two companion journals. Letters are reviewed by the Editor, a member of the Editorial Board or another suitable authority. They are generally applied in nature, but may include discussion of method and theoretical formulation. In a change to the format of the Applied Financial Series of journals, from 2009 Applied Financial Economics Letters will be incorporated into its sister journal Applied Economics Letters.