Time inhomogeneous multiple volatility modelling
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- Wolfgang Haerdle & Helmut Herwartz & Volodia Spokoiny, 2000. "Time Inhomogeneous Multiple Volatility Modelling," Econometric Society World Congress 2000 Contributed Papers 1429, Econometric Society.
References listed on IDEAS
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More about this item
Keywordsstochastic volatility model; adaptive estimation; local homogeneity;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2001-09-10 (All new papers)
- NEP-ECM-2001-09-10 (Econometrics)
- NEP-ETS-2001-09-10 (Econometric Time Series)
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