HIGHLIGHTS
- who: Won-Tak Hong and Eunju Hwang from the Department of Applied Statistics, Gachon University, Seongnam-si, Korea have published the research: Exponentially Weighted Multivariate HAR Model with Applications in the Stock Market, in the Journal: Entropy 2022, 24, 937. of /2022/
- what: Simulation studies are conducted to assess the performance of tests and estimates. The authors propose a multivariate time series model for strongly correlated data and study its statistical inference of hypothesis test and estimation, with empirical analysis on joint data of financial assets. More specifically, the authors focus on the multivariate HAR . . .
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