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12-055/2 - A New Semiparametric Volatility Model

  • Authors
    Jiangyu Ji, VU University Amsterdam; Andre Lucas, VU University Amsterdam, and Duisenberg school of finance
  • Publication date
    May 22, 2012
  • Keywords
    volatility clustering, Generalized Autoregressive Score model, kernel density estimation, density forecast evaluation
  • JEL
    C10, C14, C22
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