Semiparametric score driven volatility models
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Publication:1659100
DOI10.1016/j.csda.2015.04.003zbMath1466.62035OpenAlexW1993924506MaRDI QIDQ1659100
Jiangyu Ji, André Lucas, Francisco Blasques
Publication date: 15 August 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2015.04.003
kernel density estimationtime-varying volatilitygeneralized autoregressive score modelobservation driven models
Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Uses Software
Cites Work
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