Sparse vector heterogeneous autoregressive modeling for realized volatility

DOI10.1007/s42952-020-00090-5zbMath1485.62143OpenAlexW3092474152MaRDI QIDQ2132003

Changryong Baek, Min-Su Park

Publication date: 27 April 2022

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s42952-020-00090-5

zbMATH Keywords

realized volatilityheterogeneous autoregressive (HAR) modelsparse vector heterogeneous autoregressive modelstock market linkage

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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• Modeling and Forecasting Realized Volatility

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