A time-varying long run HEAVY model
Statistics & Probability Letters, 2016, vol. 119, issue C, 36-44
We propose a scalar variation of the multivariate HEAVY model of Noureldin et al. (2012) featuring a time-varying long run (co)volatility component coupled with DCC dynamics. The new model outperforms the original HEAVY model by delivering more accurate multi-step-ahead predictions.
Keywords: HEAVY model; DCC; Long term models; Distributed lag; Direct forecasting (search for similar items in EconPapers)
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