Cargando…
Exponentially Weighted Multivariate HAR Model with Applications in the Stock Market
This paper considers a multivariate time series model for stock prices in the stock market. A multivariate heterogeneous autoregressive (HAR) model is adopted with exponentially decaying coefficients. This model is not only suitable for multivariate data with strong cross-correlation and long memory...
Autores principales: | , |
---|---|
Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
MDPI
2022
|
Materias: | |
Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9315591/ https://www.ncbi.nlm.nih.gov/pubmed/35885160 http://dx.doi.org/10.3390/e24070937 |