频率变化的半参数波动率模型

IF 0.8 4区数学 Q3 STATISTICS & PROBABILITY

Communications in Statistics-Simulation and Computation Pub Date : 2024-05-23 DOI:10.1080/03610918.2024.2356236

Jetrei Benedick R. Benito, Joseph Ryan G. Lansangan, Erniel B. Barrios

引用次数: 0

摘要

来自不同来源的时间序列数据通常会导致以不同频率测量的变量，因为这往往取决于数据来源。利用这些数据建模，可以通过聚合数据来实现。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Semiparametric volatility model with varying frequencies

Time series data from various sources usually results to variables measured at varying frequencies as this is often dependent on the source. Modeling from these data can be facilitated by aggregati...

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来源期刊

Communications in Statistics-Simulation and Computation 数学-统计学与概率论

CiteScore

2.50

自引率

11.10%

发文量

240

审稿时长

6 months

期刊介绍： The Simulation and Computation series intends to publish papers that make theoretical and methodological advances relating to computational aspects of Probability and Statistics. Simulational assessment and comparison of the performance of statistical and probabilistic methods will also be considered for publication. Papers stressing graphical methods, resampling and other computationally intensive methods will be particularly relevant. In addition, special issues dedicated to a specific topic of current interest will also be published in this series periodically, providing an exhaustive and up-to-date review of that topic to the readership.