On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model

Frantisek Cech and Jozef Baruník

Journal of Forecasting, 2017, vol. 36, issue 2, 181-206

Date: 2017
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Working Paper: On the modelling and forecasting multivariate realized volatility: Generalized Heterogeneous Autoregressive (GHAR) model (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:wly:jforec:v:36:y:2017:i:2:p:181-206

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