Causality and forecasting in temporally aggregated multivariate GARCH processes (Q3566442)
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scientific article; zbMATH DE number 5717882
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| English | Causality and forecasting in temporally aggregated multivariate GARCH processes |
scientific article; zbMATH DE number 5717882 |
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Causality and forecasting in temporally aggregated multivariate GARCH processes (English)
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8 June 2010
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causality in variance
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multivariate GARCH
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realized volatility
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temporal aggregation
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volatility forecasts
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0.9243882
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0.91637474
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0.9019385
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0.89575374
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0.88627803
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0.8860879
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0.88068146
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0.8777477
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