Let's get LADE: robust estimation of semiparametric multiplicative volatility models
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- Koo, Bonsoo & Linton, Oliver, 2015. "Let’S Get Lade: Robust Estimation Of Semiparametric Multiplicative Volatility Models," Econometric Theory, Cambridge University Press, vol. 31(04), pages 671-702, August.
References listed on IDEAS
- VAN BELLEGEM, Sébastien, 2011. "Locally stationary volatility modelling," CORE Discussion Papers 2011041, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Da Huang & Hansheng Wang & Qiwei Yao, 2008. "Estimating GARCH models: when to use what?," Econometrics Journal, Royal Economic Society, vol. 11(1), pages 27-38, March.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-04-06 (All new papers)
- NEP-ETS-2013-04-06 (Econometric Time Series)
- NEP-MST-2013-04-06 (Market Microstructure)
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