Luo, Jiawen; Chen, Zhenbiao; Wang, Shengquan - In: Journal of management science and engineering 8 (2023) 2, pp. 214-243
We forecast realized volatilities by developing a time-varying heterogeneous autoregressive (HAR) latent factor model … monthly volatility variables, the corresponding volatility factors, and a speculation variable. In addition, the time-varying …