Non-parametric Estimation of GARCH (2, 2) Volatility model: A new Algorithm
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- Yushu Li & Hyunjoo Kim Karlsson, 2023. "Investigating the Asymmetric Behavior of Oil Price Volatility Using Support Vector Regression," Computational Economics, Springer;Society for Computational Economics, vol. 61(4), pages 1765-1790, April.
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More about this item
Keywords
GARCH (2; 2); MARS; Algorithm; Parametric; Semi parametric; Nonparametric;All these keywords.
JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2018-05-28 (Econometrics)
- NEP-ETS-2018-05-28 (Econometric Time Series)
- NEP-ORE-2018-05-28 (Operations Research)
- NEP-RMG-2018-05-28 (Risk Management)
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