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A time-varying long run HEAVY model

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  • Manuela BRAIONE

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  • Manuela BRAIONE, 2016. "A time-varying long run HEAVY model," LIDAM Reprints CORE 2853, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Handle: RePEc:cor:louvrp:2853
    Note: In : Statistics and Probability Letters, 119, 36-44, 2016
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    Cited by:

    1. Bauwens, Luc & Xu, Yongdeng, 2023. "DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations," International Journal of Forecasting, Elsevier, vol. 39(2), pages 938-955.
    2. 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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