Open AccessVolatility Modelling with Heterogeneous Impulse Response Function: Introducing Non-Parametric Jumps into the Fiegarch Model
Author(s) -
Ping Chen Tsai
Publication year - 2009
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.1362056
Subject(s) - jump , econometrics , volatility (finance) , parametric statistics , impulse response , stochastic volatility , parametric model , economics , mathematics , statistics , physics , mathematical analysis , quantum mechanics
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