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Daily nonparametric ARCH(1) model estimation using intraday high frequency data - MaRDI portal

Daily nonparametric ARCH(1) model estimation using intraday high frequency data (Q2144835)

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Daily nonparametric ARCH(1) model estimation using intraday high frequency data
scientific article

    Statements

    title
    Daily nonparametric ARCH(1) model estimation using intraday high frequency data (English)
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    author
    Xin Liang
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    Chunliang Deng
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    XingFa Zhang
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    Yu'an Li
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    publication date
    17 June 2022
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    zbMATH Keywords
    volatility function
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    volatility proxy
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    local polynomial estimation
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    Identifiers

    zbMATH DE Number
    7543280
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    OpenAlex ID
    W3121974519
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    DOI
    10.3934/MATH.2021206
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