Vector error correction heterogeneous autoregressive forecast model of realized volatility and implied volatility (Q5085946)
From MaRDI portal
scientific article; zbMATH DE number 7551066
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Vector error correction heterogeneous autoregressive forecast model of realized volatility and implied volatility |
scientific article; zbMATH DE number 7551066 |
Statements
Vector error correction heterogeneous autoregressive forecast model of realized volatility and implied volatility (English)
0 references
30 June 2022
0 references
cointegration
0 references
HAR model
0 references
high frequency data
0 references
long-memory
0 references
volatility forecasting
0 references
