A Note on the Asymptotic Normality Theory of the Least Squares Estimates in Multivariate HAR-RV Models
In this work, multivariate heterogeneous autoregressive-realized volatility (HAR-RV) models are discussed with their least squares estimations. We consider multivariate HAR models of order <i>p</i> with <i>q</i> multiple assets to explore the relationships between two or more...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-11-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/8/11/2083 |