Showing 1 - 10 of 28
We propose a flexible GARCH-type model for the prediction of volatility in financial time series. The approach relies on the idea of using multivariate B-splines of lagged observations and volatilities. Estimation of such a B-spline basis expansion is constructed within the likelihood framework...
Persistent link: https://www.econbiz.de/10005797706
Persistent link: https://www.econbiz.de/10009513144
Persistent link: https://www.econbiz.de/10003316303
Persistent link: https://www.econbiz.de/10003885898
Persistent link: https://www.econbiz.de/10003903349
Persistent link: https://www.econbiz.de/10003597924
Persistent link: https://www.econbiz.de/10009509328
Persistent link: https://www.econbiz.de/10011289179
Persistent link: https://www.econbiz.de/10009719695
Persistent link: https://www.econbiz.de/10009719911