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Keyword: local stationarity;
2 results found.
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Bonsoo Koo and Oliver Linton
This paper proposes a class of locally stationary diffusion processes. The model has a time varying but locally linear drift and a volatility coefficient that is allowed to vary over time and space. We propose estimators...Read more...
Christian M. Hafner and Oliver Linton
We propose a multivariate generalization of the multiplicative volatility model of Engle and Rangel (2008), which has a nonparametric long run component and a unit multivariate GARCH short run dynamic component. We sugge...Read more...