HARModel-package: Heterogeneous Autoregressive Models

Description Details Author(s) References

Description

Estimation, simulation, and forecasting using the HAR model from Corsi(2009) <DOI:10.1093/jjfinec/nbp001> and extensions.

Details

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Author(s)

Emil Sjoerup

Maintainer: Emil Sjoerup <[email protected]>

References

Corsi, F. 2009, A Simple Approximate Long-Memory Model of Realized Volatility, Journal of Financial Econometrics, 174–196 .


HARModel documentation built on Jan. 24, 2019, 5:04 p.m.