Non-stationary non-parametric volatility model

Non-stationary non-parametric volatility model

10.1111/j.1368-423X.2011.00357.x

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Bibliographic Details
Main Authors: Han, H., Zhang, S.
Other Authors: ECONOMICS
Format: Article
Published: 2014
Subjects:
Kernel estimation
long memory property
non-parametric ARCH
non-parametric cointegrating regression
non-stationarity
volatility persistence
Online Access:http://scholarbank.nus.edu.sg/handle/10635/52115
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Institution: National University of Singapore
Description
Summary:10.1111/j.1368-423X.2011.00357.x

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