Forecasting with a Bivariate Hysteretic Time Series Model Incorporating Asymmetric Volatility and Dynamic Correlations
This study explores asymmetric volatility structures within multivariate hysteretic autoregressive (MHAR) models that incorporate conditional correlations, aiming to flexibly capture the dynamic behavior of global financial assets. The proposed framework integrates regime switching and time-varying...
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| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2025-07-01
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| Series: | Entropy |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1099-4300/27/7/771 |
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