Nonparametric and Semiparametric Volatility Models: Specification, Estimation, and Testing

Nonparametric and Semiparametric Volatility Models: Specification, Estimation, and Testing

In recent years, an extensive literature has developed on studying the volatility in financial markets. The simplest approach in this literature regards volatility as a time-invariant constant parameter σ. However, this is contradicted in some of the real world financial data, where a specific patte...

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Bibliographic Details
Main Authors: SU, Liangjun, ULLAH, Aman, MISHRA, Santosh, WANG, Yun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2012
Subjects:
nonparametric semiparametric volatility models
nonparametric semiparametric multivariate volatility models
error density specification
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1366
https://search.library.smu.edu.sg/primo-explore/fulldisplay?docid=TN_wilbooks10.1002/9781118272039.ch11&context=PC&vid=SMU_NUI&search_scope=Everything&tab=default_tab&lang=en_US
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/1366
https://search.library.smu.edu.sg/primo-explore/fulldisplay?docid=TN_wilbooks10.1002/9781118272039.ch11&context=PC&vid=SMU_NUI&search_scope=Everything&tab=default_tab&lang=en_US

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