A data-dependent approach to modeling volatility in financial time series
DOI10.1007/S13571-014-0094-7zbMath1312.62132OpenAlexW1985847792MaRDI QIDQ2347550
Jianing Di, Ashis K. Gangopadhyay
Publication date: 28 May 2015
Published in: Sankhyā. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13571-014-0094-7
random modelsasymmetric GARCHdynamic volatilityself-adjustinglocal cross-correlationtime-varying asymmetry
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84)
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Cites Work
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