Non-parametric estimation of a multiscale CHARN model using SVR

DOI10.1080/14697680802039865zbMath1171.91333OpenAlexW2063371048MaRDI QIDQ3182652

Amir Safari, Detlef Seese

Publication date: 12 October 2009

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680802039865

zbMATH Keywords

multiresolution analysiswavelet transformscalingARCHheteroskedasticitynon-Gaussian distributionsvolatility modelling

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

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