Let's get LADE: Robust estimation of semiparametric multiplicative volatility models
Year of publication: |
2013
|
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Authors: | Koo, Bonsoo ; Linton, Oliver |
Publisher: |
London : Centre for Microdata Methods and Practice (cemmap) |
Subject: | semiparametric | heavy-tailed errors | time varying | nonstationary multiplicative GARCH |
Series: | cemmap working paper ; CWP11/13 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 10.1920/wp.cem.2013.1113 [DOI] 738617857 [GVK] hdl:10419/79504 [Handle] RePEc:ifs:cemmap:11/13 [RePEc] |
Classification: | C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models ; G12 - Asset Pricing |
Source: |
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Let's get LADE : robust estimation of semiparametric multiplicative volatility models
Koo, Bonsoo, (2013)
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