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

• 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

© 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...