l1-penalized likelihood smoothing of volatility processes allowing for abrupt changes
ContributorsNeto, David; Sardy, Sylvain; Tseng, Paul
Publication date2010
Abstract
Affiliation
Citation (ISO format)
NETO, David, SARDY, Sylvain, TSENG, Paul. l1-penalized likelihood smoothing of volatility processes allowing for abrupt changes. 2010.
Main files (1)
Preprint

Identifiers
- PID : unige:12047