Averaging Heterogeneous Autoregression Models with Heteroskedastic Errors: Theory and an Application to Cryptocurrency Volatility Forecasting

• Ziwen Gao ^[1] ; Steven F. Lehrer ^[2] ; Tian Xie ^[3] ; Xinyu Zhang ^[4]
  1. [1] University of Chinese Academy of Sciences

     University of Chinese Academy of Sciences

     China

     
  2. [2] Queen's University

     Queen's University

     Canadá

     
  3. [3] Shanghai University of Finance and Economics

     Shanghai University of Finance and Economics

     China

     
  4. [4] Chinese Academy of Sciences

     Chinese Academy of Sciences

     China

     

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• Localización: Essays in honor of Subal Kumbhakar / Christopher F. Parmeter (ed. lit.), Mike G. Tsionas (ed. lit.), Hung-Jen Wang (ed. lit.), 2024, ISBN 978-1-83797-874-8, págs. 99-131
• Idioma: inglés
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