A time-varying long run HEAVY model
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DOI: 10.1016/j.spl.2016.07.006
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- BRAIONE, Manuela, 2016. "A time-varying long run HEAVY model," LIDAM Discussion Papers CORE 2016002, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
References listed on IDEAS
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Citations
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Cited by:
- Bauwens, Luc & Xu, Yongdeng, 2023.
"DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations,"
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- Bauwens, Luc & Xu, Yongdeng, 2019. "DCC and DECO-HEAVY: a multivariate GARCH model based on realized variances and correlations," Cardiff Economics Working Papers E2019/5, Cardiff University, Cardiff Business School, Economics Section, revised Aug 2021.
- BAUWENS Luc, & XU Yongdeng,, 2019. "DCC-HEAVY: A multivariate GARCH model based on realized variances and correlations," LIDAM Discussion Papers CORE 2019025, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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Keywords
HEAVY model; DCC; Long term models; Distributed lag; Direct forecasting;All these keywords.
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