Sparse vector heterogeneous autoregressive modeling for realized volatility (Q2132003)
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scientific article; zbMATH DE number 7514905
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | Sparse vector heterogeneous autoregressive modeling for realized volatility |
scientific article; zbMATH DE number 7514905 |
Statements
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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0.90736794
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0.8955623
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0.88645595
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0.8801619
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0.8744917
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0.87296087
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0.8715625
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