Double-conditional smoothing of high-frequency volatility surface in a spatial multiplicative component GARCH with random effects
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Cited by:
- Yuanhua Feng & Sarah Forstinger & Christian Peitz, 2013. "On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations," Working Papers CIE 66, Paderborn University, CIE Center for International Economics.
- Bastian Schäfer, 2021. "Bandwidth selection for the Local Polynomial Double Conditional Smoothing under Spatial ARMA Errors," Working Papers CIE 146, Paderborn University, CIE Center for International Economics.
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More about this item
Keywords
Spatial multiplicative component GARCH; high-frequency returns; double-conditional smoothing; multiplicative random effect; volatility arch; volatility saddle.;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2014-06-14 (Econometric Time Series)
- NEP-MST-2014-06-14 (Market Microstructure)
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