A Mixture Innovation Heterogeneous Autoregressive Model for Structural Breaks and Long Memory
نویسندگان
چکیده
منابع مشابه
A Mixture Innovation Heterogeneous Autoregressive Model for Structural Breaks and Long Memory
We propose a flexible model that is able to simultaneously approximate long memory behavior as well as incorporate structural breaks in the model parameters. Our model is an extension of the heterogeneous autoregressive (HAR) model, which is designed to model and forecast volatility of financial time series. In an extensive empirical evaluation involving several volatility series, we demonstrat...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2014
ISSN: 1556-5068
DOI: 10.2139/ssrn.2427651