Time Inhomogeneous Multiple Volatility Modeling
By Wolfgang Karl Härdle, Helmut Herwartz, Vladimir Spokoiny. 2003
63 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/1f756832d53971ef2a1eda9965c2d1b8cb9947a4
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Giovanni Motta
- Wolfgang Karl Härdle
- Ying Chen
- Seok-Oh Jeong
- Christian M. Hafner
- R. von Sachs
- Efstathios Paparoditis
- Rangan Gupta
In Finance
- Giovanni Motta
- Wolfgang Karl Härdle
- Ying Chen
- Christian M. Hafner
- R. von Sachs
- Efstathios Paparoditis
- Carsten Jentsch
- Helmut Herwartz
Citations in the corpus
- Nonparametric Risk Management With Generalized Hyperbolic Distributions (2005, background): “Härdle, Herwartz, and Spokoiny (2003) have proposed an idea for adaptive volatility estimation with multiple time series.”
- LOCALLY STATIONARY FACTOR MODELS: IDENTIFICATION AND NONPARAMETRIC ESTIMATION (2011, background): “Recently, approaches have been made to relax the constant impact and specify time-varying parameters in GARCH-type models (see, e.g., Härdle, Herwartz, and Spokoiny, 2004).”
- Inhomogeneous Dependence Modeling with Time-Varying Copulae (2009, unknown): “Daily returns are also modeled with zero conditional means in Fan and Gu (2003) and Härdle, Herwartz, and Spokoiny (2003) among others.”