Efficient semiparametric garch modeling of financial volatility

DOI10.5705/ss.2009.285OpenAlexW2328382783WikidataQ61865756 ScholiaQ61865756MaRDI QIDQ3223866

Li Wang, Lijian Yang, Qiongxia Song, Cong Feng

Publication date: 8 March 2012

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5705/ss.2009.285

zbMATH Keywords

knotsvolatilityB-splineconfidence bandnews impact curve

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (3)

Semi-parametric estimation and forecasting for exogenous log-GARCH models ⋮ Non-parametric news impact curve: a variational approach ⋮ Efficient nonparametric estimation and inference for the volatility function

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