Asai, Manabu; Brugal, Ivan - In: The North American Journal of Economics and Finance 25 (2013) C, pp. 202-213
For the purpose of developing alternative approach for forecasting volatility, we consider heterogeneous VAR (HVAR) model which accommodates the market effects of different horizons, namely, daily, weekly and monthly effects, and examine the interdependence of stock markets in Brazil and the US,...