On the modelling and forecasting of multivariate realized volatility : generalized heterogeneous autoregressive (GHAR) model
František Čech and Jozef Baruník
| Year of publication: |
March 2017
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|---|---|
| Authors: | Čech, František ; Baruník, Jozef |
| Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 36.2017, 2, p. 181-206
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| Subject: | Multivariate volatility | realized covariance | portfolio optimisation | economic evaluation | Volatilität | Volatility | Multivariate Analyse | Multivariate analysis | Prognoseverfahren | Forecasting model | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model | Theorie | Theory | Korrelation | Correlation | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.2423 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011729136