Semiparametric stochastic volatility modelling using penalized splines

Roland Langrock, Théo Michelot, Alexander Sohn, Thomas Kneib. Semiparametric stochastic volatility modelling using penalized splines. Comput. Stat., 30(2):517-537, 2015. [doi]

Authors

Roland Langrock

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Théo Michelot

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Alexander Sohn

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Thomas Kneib

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