l1-Penalized Likelihood Smoothing of Volatility Processes allowing for Abrupt Changes
Year of publication: |
2009-04
|
---|---|
Authors: | Neto, David ; Sardy, Sylvain ; Tseng, Paul |
Institutions: | Institut d'Economie et Econométrie, Université de Genève |
Subject: | l1 penalty | Markov random field | stochastic volatility model | smoothing | wavelet | extreme value theory | forecasting | GARCH |
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