Predicting returns, volatilities and correlations of stock indices using multivariate conditional autoregressive Range and return models
This paper extends the conditional autoregressive range (CARR) model to the multivariate CARR (MCARR) model and further to the two-stage MCARR-return model to model and forecast volatilities, correlations and returns of multiple financial assets. The first stage model fits the scaled realised Parkin...
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| Main Authors: | , , |
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| Format: | Article |
| Published: |
MDPI
2023
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| Subjects: | |
| Online Access: | http://eprints.um.edu.my/39121/ |
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