Preprint
Sep 2026
The"Rough"HAR Model
This paper proposes discrete-time approximations to rough continuous-time models of realized variance (RV). The leading rough models can be viewed as autoregressive processes driven by fractional Gaussian noise. We show that the Wold representation of this noise concentrates its dependence at the first lag when the Hur...
Mikkel Bennedsen, Kim Christensen, Peter Korsbakke Christensen et al.
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