Modeling and forecasting the multivariate realized volatility of financial markets with time-varying sparsity
Jiawen Luo and Langnan Chen
| Year of publication: |
2020
|
|---|---|
| Authors: | Luo, Jiawen ; Chen, Langnan |
| Subject: | Multivariate models | performance evaluation | realized volatility forecast | time-varying sparsity | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Theorie | Theory | Multivariate Analyse | Multivariate analysis | Finanzmarkt | Financial market | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1540496X.2019.1567264 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012211461