R-estimation in semiparametric dynamic location-scale models
Year of publication: |
February 2017
|
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Authors: | Hallin, Marc ; La Vecchia, Davide |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 196.2017, 2, p. 222-247
|
Subject: | Conditional heteroskedasticity | Distribution-freeness | Discretely observed Lévy processes | Forecasting | R-estimation | Realized volatility | Skew-t family | Theorie | Theory | Volatilität | Volatility | Nichtparametrisches Verfahren | Nonparametric statistics | Stochastischer Prozess | Stochastic process | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Heteroskedastizität | Heteroscedasticity | Schätzung | Estimation |
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