Non-parametric Estimation of GARCH (2, 2) Volatility model: A new Algorithm
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KeywordsGARCH (2; 2); MARS; Algorithm; Parametric; Semi parametric; Nonparametric;
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2018-05-28 (All new papers)
- NEP-ECM-2018-05-28 (Econometrics)
- NEP-ETS-2018-05-28 (Econometric Time Series)
- NEP-ORE-2018-05-28 (Operations Research)
- NEP-RMG-2018-05-28 (Risk Management)
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