Infinite-order, long-memory heterogeneous autoregressive models
Year of publication: |
2014
|
---|---|
Authors: | Hwang, Eunju ; Shin, Dong Wan |
Published in: |
Computational Statistics & Data Analysis. - Elsevier, ISSN 0167-9473. - Vol. 76.2014, C, p. 339-358
|
Publisher: |
Elsevier |
Subject: | HAR-RV model | Least squares estimator | Asymptotic property | Prediction mean-squared error | Realized volatility |
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