Sparse vector heterogeneous autoregressive modeling for realized volatility

DOI10.1007/S42952-020-00090-5MaRDI QIDQ2132003zbMATHOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 2199188 (Why is no real title available?)
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• Modeling and Forecasting Realized Volatility
• On distinguishing multiple changes in mean and long-range dependence using local Whittle estimation
• Periodic dynamic factor models: estimation approaches and applications
• Regularized estimation in sparse high-dimensional time series models
• Sparse seasonal and periodic vector autoregressive modeling
• Tests for volatility shifts in GARCH against long-range dependence
• The Adaptive Lasso and Its Oracle Properties
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

Cited in

(4)

• Predicting stock realized variance based on an asymmetric robust regression approach
• Krill-Herd Support Vector Regression and heterogeneous autoregressive leverage: evidence from forecasting and trading commodities
• Bayesian vector heterogeneous autoregressive modelling
• A generalized heterogeneous autoregressive model using market information

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