Sparse vector heterogeneous autoregressive modeling for realized volatility (Q2132003)

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Sparse vector heterogeneous autoregressive modeling for realized volatility
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    Sparse vector heterogeneous autoregressive modeling for realized volatility (English)
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    27 April 2022
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    sparse vector heterogeneous autoregressive model
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    realized volatility
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    heterogeneous autoregressive (HAR) model
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    stock market linkage
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