Non‐stationary non‐parametric volatility model (Q5093184)
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scientific article; zbMATH DE number 7563333
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Non‐stationary non‐parametric volatility model |
scientific article; zbMATH DE number 7563333 |
Statements
Non‐stationary non‐parametric volatility model (English)
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26 July 2022
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kernel estimation
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long memory property
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non-parametric ARCH
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non-parametric cointegrating regression
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non-stationarity
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volatility persistence
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