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NTIS 바로가기응용통계연구 = The Korean journal of applied statistics, v.35 no.1, 2022년, pp.49 - 62
박민수 (성균관대학교 통계학과) , 백창룡 (성균관대학교 통계학과)
Realized volatility is well known to have long memory, strong association with other global financial markets and interdependences among macroeconomic indices such as exchange rate, oil price and interest rates. This paper proposes autoencoder factor-augmented heterogeneous autoregressive (AE-FAHAR)...
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