Long Memory, Realized Volatility and Heterogeneous Autoregressive Models
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Publication:5226150
DOI10.1111/jtsa.12470zbMath1426.62253OpenAlexW2941456063MaRDI QIDQ5226150
Dooyeon Cho, Richard T. Baillie, Fabio Calonaci, Seunghwa Rho
Publication date: 30 July 2019
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/jtsa.12470
realized volatilityheterogeneous autoregressive (HAR) modelHAR modelsrestricted ARFIMA modelsTVP models
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Economic time series analysis (91B84)
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