NoVaS Transformations: Flexible Inference for Volatility Forecasting
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- Politis, Dimitris N & Thomakos, Dimitrios D, 2008. "NoVaS Transformations: Flexible Inference for Volatility Forecasting," University of California at San Diego, Economics Working Paper Series qt982208kx, Department of Economics, UC San Diego.
- Dimitris Politis & Dimitrios Thomakos, 2007. "NoVaS Transformations: Flexible Inference for Volatility Forecasting," Working Papers 0005, University of Peloponnese, Department of Economics.
References listed on IDEAS
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More about this item
KeywordsARCH; GARCH; local stationarity; structural breaks; VaR; volatility;
StatisticsAccess and download statistics
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