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A c library with a wrapper written in java for modeling high-frequency based volatility (HEAVY). The model is described in full detail by Shephard and Sheppard in http://www.nuff.ox.ac.uk/users/shephard/papers/heavy.pdf. Access to functions for forecasting volatility, distribution analysis, and Bayesian estimation are also available. Many of the features have been tested and seem to work. Bugs and breakdowns are always inevitable and the package will continuously be updated in the future as improvements are made.
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