l 1 - penalized likelihood smoothing of volatility processes allowing for abrupt changes
David Neto, Sylvain Sardy and Paul Tseng
| Year of publication: |
2009
|
|---|---|
| Authors: | Neto, David ; Sardy, Sylvain ; Tseng, Paul |
| Publisher: |
Genève : Univ., Faculté des Sciences Economiques et Sociales, Dép. d'Econométrie |
| Subject: | penalty | Markov random field | stochastic volatility model | smoothing | wavelet | extreme value theory | forecasting | GARCH | Volatilität | Volatility | ARCH-Modell | ARCH model | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain | Zustandsraummodell | State space model | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Schätztheorie | Estimation theory | Risikomaß | Risk measure |
| Extent: | Online-Ressource (PDF-Datei: 25 S.) graph. Darst. |
|---|---|
| Series: | Cahiers du Département d'Econométrie. - Genève, ZDB-ID 2133885-1. - Vol. 2009,05 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat Reader |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003926975