Non‐stationary non‐parametric volatility model (Q5093184)
From MaRDI portal
scientific article; zbMATH DE number 7563333
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Non‐stationary non‐parametric volatility model |
scientific article; zbMATH DE number 7563333 |
Statements
Non‐stationary non‐parametric volatility model (English)
0 references
26 July 2022
0 references
kernel estimation
0 references
long memory property
0 references
non-parametric ARCH
0 references
non-parametric cointegrating regression
0 references
non-stationarity
0 references
volatility persistence
0 references
