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Spatial multiplicative component GARCH
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double-conditional smoothing
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high-frequency returns
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multiplicative random effect
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volatility arch
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volatility saddle
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Feng, Yuanhua
Bauwens, Luc
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Hafner, Christian M.
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Pierret, Diane
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Double-conditional smoothing of high-frequency volatility surface in a spatial
multiplicative
component
GARCH with random effects
Feng, Yuanhua
-
2013
Persistent link: https://www.econbiz.de/10010194494
Saved in:
2
Double-conditional smoothing of high-frequency volatility surface in a spatial
multiplicative
component
GARCH with random effects
Feng, Yuanhua
-
Department Volkswirtschaftslehre, Fachbereich für …
-
2013
algorithm to carry out bivariate kernel estimation of the volatility surface. A spatial
multiplicative
component
GARCH with …
Persistent link: https://www.econbiz.de/10010902041
Saved in:
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