Browsing Research Articles (Economics) by Subject "Heterogeneous autoregressive realized variance (HAR-RV)"

Browsing Research Articles (Economics) by Subject "Heterogeneous autoregressive realized variance (HAR-RV)"

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  • Do oil-price shocks predict the realized variance of U.S. REITs? 
    Bonato, Matteo; Cepni, Oguzhan; Gupta, Rangan; Pierdzioch, Christian (Elsevier, 2021-12)
    We examine, using aggregate and sectoral U.S. data for the period 2008–2020, the predictive power of disentangled oil-price shocks for Real Estate Investment Trusts (REITs) realized market variance via the heterogeneous ...
  • Forecasting power of infectious diseases-related uncertainty for gold realized variance 
    Bouri, Elie; Gkillas, Konstantinos; Gupta, Rangan; Pierdzioch, Christian (Elsevier, 2021-10)
    We examine the forecasting power of a daily newspaper-based index of uncertainty associated with infectious diseases (EMVID) for gold market returns volatility via the heterogeneous autoregressive realized variance (HAR-RV) ...