Simon Knaus

University of St. Gallen - SEPS: Economics and Political Sciences

Rosenbergstrasse 51

St. Gallen, St. Gallen CH-9000

Switzerland

  • University of St. Gallen - SEPS: Economics and Political Sciences

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Lassoing the Har Model: A Model Selection Perspective on Realized Volatility Dynamics

Number of pages: 54 Posted: 14 Oct 2013
Francesco Audrino and Simon Knaus
University of St. Gallen and University of St. Gallen - SEPS: Economics and Political Sciences
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Abstract:

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Realized Volatility, Heterogeneous Autoregressive Model, Lasso, Model Selection