Vector error correction heterogeneous autoregressive forecast model of realized volatility and implied volatility
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Publication:5085946
DOI10.1080/03610918.2017.1414250OpenAlexW2776710930MaRDI QIDQ5085946
Publication date: 30 June 2022
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918.2017.1414250
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Uses Software
Cites Work
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