Time Series Modelling with Semiparametric Factor Dynamics
Year of publication: |
2007-04
|
---|---|
Authors: | Borak, Szymon ; Härdle, Wolfgang ; Mammen, Enno ; Park, Byeong U. |
Institutions: | Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät |
Subject: | semiparametric models | factor models | implied volatility surface | vector autoregressive process | asymptotic inference |
Extent: | application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number SFB649DP2007-023 41 pages |
Classification: | C14 - Semiparametric and Nonparametric Methods ; C32 - Time-Series Models ; G12 - Asset Pricing |
Source: |
-
Time series modelling with semiparametric factor dynamics
Borak, Szymon, (2007)
-
Song, Song, (2010)
-
Song, Song, (2010)
- More ...
-
Time Series Modelling with Semiparametric Factor Dynamics
Borak, Szymon, (2007)
-
Time Series Modelling With Semiparametric Factor Dynamics
Park, Byeong U., (2009)
-
Time Series Modelling With Semiparametric Factor Dynamics
Park, Byeong U., (2009)
- More ...