Information for "An algorithm for nonparametric GARCH modelling."

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Display title	An algorithm for nonparametric GARCH modelling.
Default sort key	An algorithm for nonparametric GARCH modelling.
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Page ID	9605141
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Central description	scientific article; zbMATH DE number 1856182

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Page creator	Import240129110113 (talk \| contribs)
Date of page creation	12:09, 1 February 2024
Latest editor	AllProfilePages260409040437 (talk \| contribs)
Date of latest edit	06:52, 13 April 2026
Total number of edits	2
Recent number of edits (within past 90 days)	1
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MaRDI portal entities used in this page	zbMATH Keywords Miscellaneous (e.g. entity existence) Label: en published in Miscellaneous (e.g. entity existence) Label: en full work available at URL Miscellaneous (e.g. entity existence) Label: en Mathematics Subject Classification ID Miscellaneous (e.g. entity existence) Label: en publication date Miscellaneous (e.g. entity existence) Label: en Minimum distance estimation of GARCH(1,1) models Title ARCH modeling in finance. A review of the theory and empirical evidence Title Label: en Generalized autoregressive conditional heteroscedasticity Label: en Title Optimal global rates of convergence for nonparametric regression Title Label: en Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process. Title Label: en An algorithm for nonparametric GARCH modelling. Title Miscellaneous (e.g. entity existence) Label: en Sitelink Some statements Computational Statistics and Data Analysis Label: en Daily nonparametric ARCH(1) model estimation using intraday high frequency data Title Non-parametric news impact curve: a variational approach Title Ai algorithms for fitting GARCH parameters to empirical financial data Title Managing distribution changes in time series prediction Title Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models Title State space and hidden Markov models Title Label: en Semi-parametric estimation and forecasting for exogenous log-GARCH models Title Statistical inference for nonparametric GARCH models Label: en Title Conditional Heteroskedasticity in Asset Returns: A New Approach Title Label: en Stochastic Variance Models in Discrete Time with Feedforward Neural Networks Title Nonparametric modelling and estimation of stochastic volatility Label: en Title A light-tailed conditionally heteroscedastic model with applications to river flows Title Tail Index Estimation for Heavy-Tailed Models: Accommodation of Bias in Weighted Log-Excesses Title Modelling the persistence of conditional variances Title Label: en Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation Title Label: en Q3998409 Title Weak convergence and distributional assumptions for a general class of nonliner arch models Title Label: en Alexander J. McNeil Label: en Title Finite nonparametric grach model for foreign exchange volatility Title Nonparametric Autoregression with Multiplicative Volatility and Additive mean Title Label: en Forecasting interest rate volatility of the United Kingdom: evidence from over 150 years of data Title Nonparametric estimation of a time-varying GARCH model Label: en Title Efficient nonparametric estimation and inference for the volatility function Label: en Title Local Likelihood for non‐parametric ARCH(1) models Title EMU equity markets' return variance and spillover effects from the short-term interest rate Title Semiparametric autoregressive conditional duration model: theory and practice Title Root-\(T\) consistent density estimation in GARCH models Title Semi- and nonparametric ARCH processes Label: en Title Peter Bühlmann Label: en Title Nonparametric volatility prediction Title Semiparametric GARCH via Bayesian Model Averaging Title Estimation of nonlinear autoregressive models using design-adapted wavelets Title Implied volatility in oil markets Title Boosting GARCH and neural networks for the prediction of heteroskedastic time series Title