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Which is the better forecasting model? A comparison between HAR-RV and multifractality volatility
16 references·4 citing·20 second hop
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References

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  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics

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1,801 cited
  • 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?1,783 cited
  • Cited by

    • 2018Multifractal analysis of Bitcoin market69 cited
    • 2022Forecasting realized volatility: New evidence from time‐varying jumps in VIX36 cited
    • 2017Leverage effect, economic policy uncertainty and realized volatility with regime switching35 cited
    • 2017Does the OVX matter for volatility forecasting? Evidence from the crude oil market29 cited