Time series modelling with semiparametric factor dynamics

Journal of the American Statistical Association

Volumn 104, Issue 485, 2009, Pages 284-298

  Park, Byeong U ^a   Mammen, Enno ^b   Härdle, Wolfgang ^c   Borak, Szymon ^c  

^a Seoul National University   (South Korea)

^b UNIVERSITY OF MANNHEIM   (Germany)

^c HUMBOLDT UNIVERSITY   (Germany)

Author keywords

Asymptotic inference; Factor models; Implied volatility surface; Semiparametric models; Vector autoregressive process

Indexed keywords

EID: 63149145620     PISSN: 01621459     EISSN: None     Source Type: Journal    
DOI: 10.1198/jasa.2009.0105     Document Type: Article

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