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