A vector heterogeneous autoregressive index model for realized volatility measures
Year of publication: |
April-June 2017
|
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Authors: | Cubadda, Gianluca ; Guardabascio, Barbara ; Hecq, Alain W. J. |
Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 33.2017, 2, p. 337-344
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Subject: | Common volatility | HAR models | Index models | Combinations of realized volatilities | Forecasting | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Regressionsanalyse | Regression analysis | Theorie | Theory | Aktienindex | Stock index | Modellierung | Scientific modelling |
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