The estimation of time varying volatility based on the long stock return series with its application

MaRDI QIDQ5075217zbMATH OpenFDO

Authors Jiangyan Wang, Jinguan Lin, Xulan Chen

Publication date 10 May 2022

Full work available at URL http://aps.ecnu.edu.cn/EN/abstract/abstract9413.shtml

zbMATH Keywords

B-spline estimationGARCH modellong financial time seriesmultiplication decompositionnonparametric estimation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cited in

(1)

• Volatility estimation from short time series of stock prices

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