A multivariate HAR-RV model with heteroscedastic errors and its WLS estimation (Q2036955)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A multivariate HAR-RV model with heteroscedastic errors and its WLS estimation |
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A multivariate HAR-RV model with heteroscedastic errors and its WLS estimation (English)
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30 June 2021
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heterogeneous autoregressive-realized volatility (HAR-RV) model
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GARCH(1,1) model
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weighted least squares estimation
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asymptotic normality
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