Sparse vector heterogeneous autoregressive modeling for realized volatility
Crossref DOI link: https://doi.org/10.1007/s42952-020-00090-5
Published Online: 2020-10-07
Published Print: 2021-06
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Baek, Changryong
Park, Minsu
Funding for this research was provided by:
National Research Foundation of Korea (NRF-2019R1F1A1057104)
Text and Data Mining valid from 2020-10-07
Version of Record valid from 2020-10-07
Article History
Received: 10 June 2020
Accepted: 23 September 2020
First Online: 7 October 2020