Narrow search
Showing 1 - 5 of 5
Cover Image
l1-Penalized Likelihood Smoothing of Volatility Processes allowing for Abrupt Changes
Neto, David; Sardy, Sylvain; Tseng, Paul - Institut d'Economie et Econométrie, Université de Genève - 2009
We consider the problem of estimating the volatility of a financial asset from a time series record of length T. We believe the underlying volatility process is smooth, possibly stationary, and with potential abrupt changes due to market news. By drawing parallels between time series and...
Persistent link: https://www.econbiz.de/10010616290
Cover Image
On the Statistical Analysis of Smoothing by Maximizing Dirty Markov Random Field Posterior Distributions
Sardy, Sylvain; Tseng, Paul - In: Journal of the American Statistical Association 99 (2004) 1, pp. 191-204
Persistent link: https://www.econbiz.de/10005238710
Cover Image
On the statistical analysis of smoothing by maximizing dirty markov random field posterior distributions
Sardy, Sylvain; Tseng, Paul - In: Journal of the American Statistical Association : JASA 99 (2004) 465, pp. 191-204
Persistent link: https://www.econbiz.de/10002029888
Cover Image
l 1 - penalized likelihood smoothing of volatility processes allowing for abrupt changes
Neto, David; Sardy, Sylvain; Tseng, Paul - 2009
Persistent link: https://www.econbiz.de/10003926975
Cover Image
Theory and Methods - On the Statistical Analysis of Smoothing by Maximizing Dirty Markov Random Field Posterior Distributions
Sardy, Sylvain; Tseng, Paul - In: Journal of the American Statistical Association : JASA 99 (2004) 465, pp. 191-204
Persistent link: https://www.econbiz.de/10006610270