This paper introduces a novel class of volatility forecasting models that incorporate market realized (co)variances and semi(co)variances within the framework heterogeneous autoregressive (HAR) model. Our empirical analysis shows statistically economically significant gains. For our most parsimonious market-HAR specification, stock is improved by 9.80% points. Using mixed sampling frequency var...

This paper examines jump dynamic patterns in three Chinese medical stocks. It also compares the Value-at-Risk (VaR) forecasting performance of a newly proposed realized volatility model allowing for jumps with that of two commonly used realized volatility models, which do not account for jumps. Using the Heterogeneous Autoregressive Realized Volatility model that allows for jumps (HAR-CJN), we ...

a r t i c l e i n f o Due to healthcare costs rising faster than overall cost of living, decision makers (i.e., households, businesses, and governments) must cut back on healthcare utilization or spending elsewhere to be fiscally responsible. Accurate forecasts of future medical costs are critical for efficient planning, budgeting and operating decisions at all levels. This research compares th...

This paper deals with heterogeneous autoregressive models of realized volatility (HAR-RV models) on high-frequency data of stock indices in the USA. Its aim is to capture the behavior of three groups of market participants trading on a daily, weekly and monthly basis and assess their role in predicting the daily realized volatility. The benefits of this work lies mainly in the application of he...

We use heterogeneous autoregressive (HAR) model with high-frequency data of Hu-Shen 300 index to investigate the volatility-volume relationship via the volatility decomposition approach. Although we find that the continuous component of daily volatility is positively correlated with trading volume, the jump component reveals a significant and robust negative relation with volume. This result su...

We analyze the Tevatron reach for neutral Higgs bosons in the Minimal Supersymmetric Standard Model (MSSM), using current exclusion limits on the Standard Model Higgs. We study four common benchmark scenarios for the soft supersymmetry-breaking parameters of the MSSM, including cases where the Higgs decays differ significantly from the Standard Model, and provide projections for the improvement...

We propose a flexible model that is able to simultaneously approximate long memory behavior as well as incorporate structural breaks in the model parameters. Our model is an extension of the heterogeneous autoregressive (HAR) model, which is designed to model and forecast volatility of financial time series. In an extensive empirical evaluation involving several volatility series, we demonstrat...