Ji Won Shin, Dong Wan Shin. Vector error correction heterogeneous autoregressive forecast model of realized volatility and implied volatility. Communications in Statistics - Simulation and Computation, 48(5):1503-1515, 2019. [doi]
@article{ShinS19,
title = {Vector error correction heterogeneous autoregressive forecast model of realized volatility and implied volatility},
author = {Ji Won Shin and Dong Wan Shin},
year = {2019},
url = {https://www.tandfonline.com/doi/full/10.1080/03610918.2017.1414250},
researchr = {https://researchr.org/publication/ShinS19},
cites = {0},
citedby = {0},
journal = {Communications in Statistics - Simulation and Computation},
volume = {48},
number = {5},
pages = {1503-1515},
}