Varying Coefficient GARCH Models (Q3646953)

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Varying Coefficient GARCH Models
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    title
    Varying Coefficient GARCH Models (English)
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    author
    Pavel Čížek
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    Vladimir Spokoiny
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    publication date
    27 November 2009
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    Mathematics Subject Classification ID
    91B84
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    91G70
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    62P05
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    zbMATH DE Number
    5640034
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    zbMATH Keywords
    locally adaptive volatility
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    conditional heteroscedasticity
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    nonparametric estimation
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    global parametric model
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    smooth transition model
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    OpenAlex ID
    W2150807234
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