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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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2012
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| 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 |