Varying Coefficient GARCH Models
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Publication:3646953
DOI10.1007/978-3-540-71297-8_7zbMath1178.91157MaRDI QIDQ3646953
Pavel Čížek, Vladimir Spokoiny
Publication date: 27 November 2009
Published in: Handbook of Financial Time Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-540-71297-8_7
nonparametric estimation; conditional heteroscedasticity; smooth transition model; global parametric model; locally adaptive volatility
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
91B84: Economic time series analysis
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