A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries (Q299262)
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scientific article; zbMATH DE number 6596547
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries |
scientific article; zbMATH DE number 6596547 |
Statements
A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries (English)
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22 June 2016
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realized volatility
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smooth transition
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heterogeneous autoregression
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financial econometrics
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leverage
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sign and size asymmetries
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forecasting
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risk management
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model combination
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