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A Practical Guide to Harnessing the HAR Volatility Model — Queensland University of Technology

https://portal.research.qut.edu.au/en/publications/a-practical-guide-to-harnessing-the-har-volatility-model

... is often estimated using raw realized variance ( RV) and ordinary least squares (OLS). However, given the stylized facts of RV and well-known properties ...

 

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