Modelling of scale change, periodicity and conditional heteroskedasticity in return volatility

Economic Modelling

Volumn 25, Issue 5, 2008, Pages 850-867

  Feng, Yuanhua ^a   McNeil, Alexander J ^a  

^a HERIOT WATT UNIVERSITY   (United Kingdom)

Author keywords

C14; C51; High frequency financial data; Nonparametric regression; Periodicity in volatility; Scale change; Semiparametric GARCH model

Indexed keywords

EID: 47349086716     PISSN: 02649993     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econmod.2007.11.007     Document Type: Article

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