Modelling Different Volatility Components in High-Frequency Financial Returns
Year of publication: |
2002-11
|
---|---|
Authors: | Feng, Yuanhua |
Institutions: | Zentrum für Finanzen und Ökonometrie, Fachbereich Wirtschaftswissenschaften |
Subject: | High-frequency financial data | nonparametric regression | seasonality in volatility | semiparametric GARCH model | trend in volatility |
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