DaanZunnenberg/FunctionalScale

Research code for functional GAS and functional GARCH models for volatility surface estimation and forecasting, including scalable estimation methods and empirical applications to high-frequency financial data.

语言：MATLAB · GitHub 星标：3 · Fork：0

话题：functional-garch · functional-gas · functional-time-series · volatility-surface

在 GitHub 上查看原仓库