Nonparametric estimation and parametric calibration of time-varying coefficient realized volatility models

Xiangjin B. Chen, Jiti Gao, Degui Li and Param Silvapulle

Year of publication:	2013
Authors:	Chen, Xiangjin B. ; Gao, Jiti ; Li, Degui ; Silvapulle, Paramsothy
Publisher:	Clayton, Vic. : Dep. of Econometrics and Business Statistics, Monash Univ.
Subject:	Volatilität \| Volatility \| Nichtparametrisches Verfahren \| Nonparametric statistics \| Schätzung \| Estimation \| Schätztheorie \| Estimation theory \| Nichtparametrische Schätzung \| Nonparametric estimation \| Zeitreihenanalyse \| Time series analysis \| ARCH-Modell \| ARCH model

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