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~subject:"volatility saddle"
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volatility saddle
ARCH-Modell
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forecasting
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dynamic conditional correlations
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electricity futures
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Feng, Yuanhua
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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
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