A vector heterogeneous autoregressive index model for realized volatility measures
Gianluca Cubadda, Barbara Guardabascio, Alain Hecq
| Year of publication: |
April-June 2017
|
|---|---|
| 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
|
| Subject: | Common volatility | HAR models | Index models | Combinations of realized volatilities | Forecasting | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Aktienindex | Stock index | ARCH-Modell | ARCH model | Theorie | Theory | Regressionsanalyse | Regression analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2016.09.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011921023