Semiparametric efficient adaptive estimation of the GJR-GARCH model (Q1756033)
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scientific article; zbMATH DE number 7000602
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| English | Semiparametric efficient adaptive estimation of the GJR-GARCH model |
scientific article; zbMATH DE number 7000602 |
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Semiparametric efficient adaptive estimation of the GJR-GARCH model (English)
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11 January 2019
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semiparametric estimation
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nonparametric inference
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asymmetric volatility
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GJR-GARCH
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0.9310484528541564
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0.8923532366752625
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0.8923532366752625
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0.8664836883544922
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0.8664836883544922
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