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0549124 - NHU-C 2022 RIV CZ eng V - Research Report
Pyrlik, Vladimir - Elizarov, P. - Leonova, A.
Forecasting realized volatility using machine learning and mixed-frequency data (the case of the Russian stock market).
Prague: CERGE-EI, 2021. 33 s. CERGE-EI Working Paper Series, 713. ISSN 1211-3298
R&D Projects: GA MŠMT(CZ) SVV260611
Institutional support: Progres-Q24
Keywords : heterogeneous autoregressive model * machine learning * lasso
OECD category: Applied Economics, Econometrics
https://www.cerge-ei.cz/pdf/wp/Wp713.pdf
Permanent Link: http://hdl.handle.net/11104/0325138