Semiparametric stochastic volatility modelling using penalized splines.

Roland Langrock Théo Michelot Alexander Sohn Thomas Kneib

Published in: Comput. Stat. (2015)

Keyphrases

semi parametric
least squares
statistical inference
density estimation
regression model
maximum likelihood
linear model
monte carlo
constrained optimization
model selection
data sets
neural network
nearest neighbor
closed form
probability distribution
regression problems
optical flow