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EconomicsMathematicsComputer Science

A Simple Approximate Long-Memory Model of Realized Volatility

F. Corsi

2008.11.7Journal of Financial Econometrics

DOI: 10.1093/jjfinec/nbp001

tlooto Summary

Simulation results show that the HAR-RV model successfully achieves the purpose of reproducing the main empirical features of financial returns in a very tractable and parsimonious way and empirical results show remarkably good forecasting performance.

Abstract

Abstract is not available.

Citation format

CORSI, F. A simple approximate long-memory model of realized volatility. Journal of Financial Econometrics, 2008, 7: 174–196.