A multivariate HAR-RV model with heteroscedastic errors and its WLS estimation

DOI10.1016/J.ECONLET.2021.109855zbMath1467.62145OpenAlexW3154734411MaRDI QIDQ2036955

Won-Tak Hong, Eun-Ju Hwang

Publication date: 30 June 2021

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2021.109855

zbMATH Keywords

asymptotic normalityweighted least squares estimationGARCH(1,1) modelheterogeneous autoregressive-realized volatility (HAR-RV) model

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Limit theory of quadratic forms of long-memory linear processes with heavy-tailed GARCH innovations
• Regular variation of GARCH processes.
• Adaptive estimation of AR(\(\infty\)) models with time-varying variances
• Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity
• On functional limits of short- and long-memory linear processes with GARCH(1,1) noises
• ASYMPTOTIC INFERENCE FOR AR MODELS WITH HEAVY-TAILED G-GARCH NOISES
• The Volatility of Realized Volatility
• On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model

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