Vector error correction heterogeneous autoregressive forecast model of realized volatility and implied volatility.
Ji Won ShinDong Wan ShinPublished in: Commun. Stat. Simul. Comput. (2019)
Keyphrases
- error correction
- autoregressive
- stock price
- non stationary
- moving average
- turning points
- stock market
- error detection
- error correcting
- exchange rate
- arma model
- data hiding
- channel coding
- gaussian markov random field
- random fields
- financial time series
- sar images
- autoregressive model
- random field models
- error detection and correction
- feature vectors
- gray level
- error control
- model selection
- autoregressive moving average
- image segmentation