Splines for Financial Volatility
DOI10.1111/j.1467-9868.2009.00696.xzbMath1250.91103OpenAlexW2077364631MaRDI QIDQ2920261
Francesco Audrino, Peter Bühlmann
Publication date: 25 October 2012
Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)
Full work available at URL: http://ux-tauri.unisg.ch/RePEc/usg/dp2007/DP-11-Au.pdf
\(B\)-splinesvolatilityfinancial time seriesconditional varianceboostinggeneralized auto-regressive conditional heteroscedasticity model
Numerical computation using splines (65D07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)
Related Items (6)
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