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Showing 1 to 1 of 1 for “"Heterogeneous Autoregression"”.
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Essays on Commodity Price Shocks, Bank Risk and Market Volatility Forecasting
… predictors and estimate the coefficients for a heterogeneous autoregressive (HAR) model (Corsi, 2009). In an out–of–sample analysis with the VIX data, our proposed OLS post–Lasso HAR (OLHAR) model generates a different combination of predictors from those ex ante imposed by the standard HAR …