Asymmetric multivariate HAR models for realized covariance matrix : a study based on volatility timing strategies
Hui Qu, Yi Zhang
| Year of publication: |
2022
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|---|---|
| Authors: | Qu, Hui ; Zhang, Yi |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 106.2022, p. 1-13
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| Subject: | Asymmetric volatility | Multivariate heterogeneous autoregressive model | Realized covariance matrix | Volatility forecast | Volatility timing strategy | Volatilität | Volatility | Korrelation | Correlation | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Multivariate Analyse | Multivariate analysis | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2021.105699 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013347668