Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time -varying correlations

Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time -varying correlations

© 2019 John Wiley & Sons, Ltd. To understand and predict chronological dependence in the second-order moments of asset returns, this paper considers a multivariate hysteretic autoregressive (HAR) model with generalized autoregressive conditional heteroskedasticity (GARCH) specification and tim...

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Bibliographic Details
Main Authors: Cathy W.S. Chen, Hong Than-Thi, Mike K.P. So, Songsak Sriboonchitta
Format: Journal
Published: 2019
Subjects:
Business, Management and Accounting
Decision Sciences
Mathematics
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85070311925&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/66614
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Institution: Chiang Mai University

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http://cmuir.cmu.ac.th/jspui/handle/6653943832/66614

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