Efficient estimation of a multivariate multiplicative volatility model (Q736688)
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scientific article; zbMATH DE number 6609321
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient estimation of a multivariate multiplicative volatility model |
scientific article; zbMATH DE number 6609321 |
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Efficient estimation of a multivariate multiplicative volatility model (English)
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4 August 2016
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GARCH
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kernel estimation
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local stationarity
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semiparametric
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0.9262887
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0.92031646
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0.9121243
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0.9085064
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