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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| Main Authors: | , , , |
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| Format: | Journal |
| Published: |
2019
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| Subjects: | |
| 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 |