Varying coefficient GARCH versus local constant volatility modeling: comparison of the predictive power
Year of publication: |
2006
|
---|---|
Authors: | Polzehl, Jörg ; Spokoiny, Vladimir |
Publisher: |
Berlin : Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |
Series: | SFB 649 Discussion Paper ; 2006,033 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 512478597 [GVK] hdl:10419/25116 [Handle] |
Classification: | C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models ; C53 - Forecasting and Other Model Applications |
Source: |
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