2The quantile-heterogeneous autoregressive model of realized volatility
New evidence from commodity markets
1. Introduction
This chapter presents new insights into the dynamics of gold, silver, and crude oil market volatility. Specifically, we start by using a heterogeneous autoregressive model of realized volatility (HAR-RV) to obtain insights into the temporal dependence of today’s volatility with respect to past daily, weekly, and monthly volatility aggregates. This allows us to explicitly capture the possibly different contributions of market participants with diverse trading motives and investment horizons. The interaction of heterogeneous traders seems particularly evident in commodity markets. On ...
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