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...

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Detalles Bibliográficos
Autores principales: Hong, Won-Tak, Hwang, Eunju
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2022
Materias:
Article
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

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9315591/
https://www.ncbi.nlm.nih.gov/pubmed/35885160
http://dx.doi.org/10.3390/e24070937

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