Varying coefficient GARCH versus local constant volatility modeling : comparison of the predictive power

Jörg Polzehl; Vladimir Spokoiny

Year of publication:	2006
Other Persons:	Polzehl, Jörg (contributor) ; Spokojnyj, Vladimir G. (contributor)
Publisher:	Berlin : SFB 649, Economic Risk
Subject:	Volatilität \| Volatility \| ARCH-Modell \| ARCH model \| Prognoseverfahren \| Forecasting model \| Theorie \| Theory \| Schätzung \| Estimation \| Zeitreihenanalyse \| Time series analysis \| Vergleich \| Comparison

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