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

• المؤلفون الرئيسيون: SU, Liangjun, ULLAH, Aman, MISHRA, Santosh, WANG, Yun
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2012
• الموضوعات: nonparametric semiparametric volatility models; nonparametric semiparametric multivariate volatility models; error density specification; Econometrics
• الوصول للمادة أونلاين: 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

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...