机译:用于实现波动性的多功能HAR模型:最小二乘模型平均透视
WISE and School of Economics Xiamen University Xiamen Fujian 361005 China;
Academy of Mathematics and Systems Science Chinese Academy of Sciences Beijing 100190 ChinaDepartment of Statistics Pennsylvania State University University Park Pennsylvania 16802 USA;
WISE and School of Economics Xiamen University Xiamen Fujian 361005 China;
College of Science Minzu University of China Beijing 100081 China;
Heterogeneous autoregression; Volatility forecasting; Forecasting combination; Model averaging; Asymptotic optimality;