A multivariate HAR-RV model with heteroscedastic errors and its WLS estimation
DC Field | Value | Language |
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dc.contributor.author | Hwang, Eunju | - |
dc.contributor.author | Hong, Won-Tak | - |
dc.date.accessioned | 2021-07-04T07:41:34Z | - |
dc.date.available | 2021-07-04T07:41:34Z | - |
dc.date.created | 2021-04-29 | - |
dc.date.issued | 2021-06 | - |
dc.identifier.issn | 0165-1765 | - |
dc.identifier.uri | https://scholarworks.bwise.kr/gachon/handle/2020.sw.gachon/81561 | - |
dc.description.abstract | This work considers a multivariate heterogeneous autoregressive-realized volatility (HAR-RV) model in the presence of heteroscedasticity and aims to analyze realized volatilities of multiple assets that possess non-standard features, such as non-Gaussianity, time varying volatility and long-memory dependence. For capturing the long-memory, a HAR-RV model is employed, while for a heavy-tailed distribution, a GARCH process is adopted on the noise term. To estimate coefficients of the HAR-RV-GARCH model, we suggest weighted least squares estimator (WLSE) based on an observed weighting scheme and prove its asymptotic normality. Simulation results show a good performance on the WLSE. The multivariate HAR-RV-GARCH model fitted by the WLSE is illustrated with an application to realized volatilities of multiple financial data. © 2021 | - |
dc.language | 영어 | - |
dc.language.iso | en | - |
dc.publisher | ELSEVIER SCIENCE SA | - |
dc.relation.isPartOf | ECONOMICS LETTERS | - |
dc.title | A multivariate HAR-RV model with heteroscedastic errors and its WLS estimation | - |
dc.type | Article | - |
dc.type.rims | ART | - |
dc.description.journalClass | 1 | - |
dc.identifier.wosid | 000651119700016 | - |
dc.identifier.doi | 10.1016/j.econlet.2021.109855 | - |
dc.identifier.bibliographicCitation | ECONOMICS LETTERS, v.203 | - |
dc.description.isOpenAccess | N | - |
dc.identifier.scopusid | 2-s2.0-85104492235 | - |
dc.citation.title | ECONOMICS LETTERS | - |
dc.citation.volume | 203 | - |
dc.contributor.affiliatedAuthor | Hwang, Eunju | - |
dc.type.docType | Article | - |
dc.subject.keywordAuthor | Asymptotic normality | - |
dc.subject.keywordAuthor | GARCH(1,1) model | - |
dc.subject.keywordAuthor | Multivariate HAR-RV model | - |
dc.subject.keywordAuthor | Weighted least squares estimation | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
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