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Search: subject:"Spatial multiplicative component GARCH"
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Spatial multiplicative component GARCH
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double-conditional smoothing
2
high-frequency returns
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multiplicative random effect
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volatility arch
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volatility saddle
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ARCH model
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ARCH-Modell
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Estimation
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Schätzung
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Theorie
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Theory
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Time series analysis
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Volatility
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Feng, Yuanhua
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Department Volkswirtschaftslehre, Fachbereich für Wirtschaftswissenschaften
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ECONIS (ZBW)
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Double-conditional smoothing of high-frequency volatility surface in a
spatial
multiplicative
component
GARCH
with random effects
Feng, Yuanhua
-
Department Volkswirtschaftslehre, Fachbereich für …
-
2013
algorithm to carry out bivariate kernel estimation of the volatility surface. A
spatial
multiplicative
component
GARCH
with …
Persistent link: https://www.econbiz.de/10010902041
Saved in:
2
Double-conditional smoothing of high-frequency volatility surface in a
spatial
multiplicative
component
GARCH
with random effects
Feng, Yuanhua
-
2013
Persistent link: https://www.econbiz.de/10010194494
Saved in:
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