VAR Modeling for´Dynamic Semiparametric Factors of VolatilityStrings
Year of publication: |
2006-02-03
|
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Authors: | Brüggemann, Ralf ; Härdle, Wolfgang ; Mungo, Julius ; Trenkler, Carsten |
Institutions: | Sonderforschungsbereich Ökonomisches Risiko <Berlin> |
Subject: | Volatilität | Semiparametrisches Modell | Autoregression |
Extent: | 29 p. 587 p. application/pdf |
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Series: | Diskussionspapier ; 2006-011 |
Type of publication: | Book / Working Paper |
Language: | English |
ISSN: | 1860-5664 |
Classification: | C14 - Semiparametric and Nonparametric Methods ; C32 - Time-Series Models ; Corporate finance and investment policy. Other aspects ; Individual Working Papers, Preprints ; No country specification |
Source: | USB Cologne (business full texts) |
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