| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1151457 | Statistics & Probability Letters | 2016 | 9 Pages |
Abstract
We propose a scalar variation of the multivariate HEAVY model of Noureldin et al. (2012) featuring a time-varying long run (co)volatility component coupled with DCC dynamics. The new model outperforms the original HEAVY model by delivering more accurate multi-step-ahead predictions.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Manuela Braione,