Sparse vector heterogeneous autoregressive modeling for realized volatility

DOI10.1007/S42952-020-00090-5zbMATH Open1485.62143OpenAlexW3092474152MaRDI QIDQ2132003FDOQ2132003

Authors: Changryong Baek, Min-Su Park 

Publication date: 27 April 2022

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s42952-020-00090-5

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• scientific article
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zbMATH Keywords

realized volatilityheterogeneous autoregressive (HAR) modelsparse vector heterogeneous autoregressive modelstock market linkage

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Cites Work

• Regularized estimation in sparse high-dimensional time series models
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• Extended Bayesian information criteria for model selection with large model spaces
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
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• Title not available (Why is that?)
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Modeling and Forecasting Realized Volatility
• Sparse seasonal and periodic vector autoregressive modeling
• On distinguishing multiple changes in mean and long-range dependence using local Whittle estimation
• Periodic dynamic factor models: estimation approaches and applications
• Detecting structural breaks in realized volatility
• Tests for Volatility Shifts in Garch Against Long‐Range Dependence

Cited In (2)

• Krill-Herd Support Vector Regression and heterogeneous autoregressive leverage: evidence from forecasting and trading commodities
• Bayesian vector heterogeneous autoregressive modelling

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