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Modeling and forecasting the multivariate realized volatility of financial markets with time-varying sparsity
Luo, Jiawen; Chen, Langnan - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 2, pp. 392-408
Persistent link: https://www.econbiz.de/10012211461
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Realized volatility forecast with the Bayesian random compressed multivariate HAR model
Luo, Jiawen; Chen, Langnan - In: International journal of forecasting 36 (2020) 3, pp. 781-799
Persistent link: https://www.econbiz.de/10012496859
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Forecasting multivariate volatilities with exogenous predictors : an application to industry diversification strategies
Luo, Jiawen; Ҫepni, Oğuzhan; Demirer, Rıza; Gupta, Rangan - 2022
Persistent link: https://www.econbiz.de/10013469716
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Forecasting multivariate volatilities with exogenous predictors : an application to industry diversification strategies
Luo, Jiawen; Cepni, Oguzhan; Demirer, Rıza; Gupta, Rangan - In: Journal of empirical finance 81 (2025), pp. 1-34
Persistent link: https://www.econbiz.de/10015405336