Vector error correction heterogeneous autoregressive forecast model of realized volatility and implied volatility (Q5085946)
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scientific article; zbMATH DE number 7551066
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Vector error correction heterogeneous autoregressive forecast model of realized volatility and implied volatility |
scientific article; zbMATH DE number 7551066 |
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Vector error correction heterogeneous autoregressive forecast model of realized volatility and implied volatility (English)
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30 June 2022
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cointegration
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HAR model
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high frequency data
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long-memory
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volatility forecasting
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