A multivariate HAR-RV model with heteroscedastic errors and its WLS estimation (Q2036955)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: A multivariate HAR-RV model with heteroscedastic errors and its WLS estimation |
scientific article; zbMATH DE number 7365144
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A multivariate HAR-RV model with heteroscedastic errors and its WLS estimation |
scientific article; zbMATH DE number 7365144 |
Statements
A multivariate HAR-RV model with heteroscedastic errors and its WLS estimation (English)
0 references
30 June 2021
0 references
heterogeneous autoregressive-realized volatility (HAR-RV) model
0 references
GARCH(1,1) model
0 references
weighted least squares estimation
0 references
asymptotic normality
0 references
0 references
0 references
