Semiparametric estimation of volatility: some models and complexity choice in the adaptive functional-coefficient class (Q3019823): Difference between revisions

From MaRDI portal
RedirectionBot (talk | contribs)
Changed an Item
ReferenceBot (talk | contribs)
Changed an Item
 
(2 intermediate revisions by 2 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1080/00949650903468193 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2096366831 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multivariate locally weighted least squares regression / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3998409 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Semiparametric least squares (SLS) and weighted SLS estimation of single-index models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Functional-Coefficient Autoregressive Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: THE LIVE METHOD FOR GENERALIZED ADDITIVE VOLATILITY MODELS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing Methods1 / rank
 
Normal rank
Property / cites work
 
Property / cites work: SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Efficient estimation of conditional variance functions in stochastic regression / rank
 
Normal rank
Property / cites work
 
Property / cites work: NONPARAMETRIC ESTIMATION OF VOLATILITY FUNCTIONS: THE LOCAL EXPONENTIAL ESTIMATOR / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Local Linear Least-Absolute-Deviations Estimator of Volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimation of heteroscedasticity in regression analysis / rank
 
Normal rank
Property / cites work
 
Property / cites work: Local polynomial estimators of the volatility function in nonparametric autoregression / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stability and the Lyapounov exponent of threshold AR-ARCH models / rank
 
Normal rank
Property / cites work
 
Property / cites work: \(L_1\) geometric ergodicity of a multivariate nonlinear AR model with an ARCH term. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Distribution-free strong consistency for nonparametric kernel regression involving nonlinear time series / rank
 
Normal rank
Property / cites work
 
Property / cites work: ON THE CONDITIONAL HOMOSCEDASTICITY TEST IN AUTOREGRESSIVE MODEL WITH ARCH ERROR / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bootstrapping nonparametric estimators of the volatility function. / rank
 
Normal rank
Property / cites work
 
Property / cites work: On variance function estimation with quadratic forms / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fully Data-Driven Nonparametric Variance Estimators / rank
 
Normal rank
Property / cites work
 
Property / cites work: Effect of mean on variance function estimation in nonparametric regression / rank
 
Normal rank
Property / cites work
 
Property / cites work: Variance estimation in nonparametric regression via the difference sequence method / rank
 
Normal rank
Property / cites work
 
Property / cites work: Improved Prediction Limits For AR(p) and ARCH(p) Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3125064 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Local polynomial regression: Optimal kernels and asymptotic minimax efficiency / rank
 
Normal rank
Property / cites work
 
Property / cites work: Additive regression and other nonparametric models / rank
 
Normal rank
Property / cites work
 
Property / cites work: The dimensionality reduction principle for generalized additive models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Direct estimation of low-dimensional components in additive models. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Nonparametric Autoregression with Multiplicative Volatility and Additive mean / rank
 
Normal rank
Property / cites work
 
Property / cites work: Linear smoothers and additive models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Semiparametric methods in econometrics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Identification of Binary Response Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal smoothing in single-index models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Generalized Partially Linear Single-Index Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3999154 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Modelling nonlinear random vibrations using an amplitude-dependent autoregressive time series model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Statistical estimation in varying coefficient models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Efficient Estimation and Inferences for Varying-Coefficient Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Functional-Coefficient Regression Models for Nonlinear Time Series / rank
 
Normal rank
Property / cites work
 
Property / cites work: Simultaneous Confidence Bands and Hypothesis Testing in Varying-coefficient Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Adaptive Varying-Coefficient Linear Models / rank
 
Normal rank

Latest revision as of 09:07, 4 July 2024

scientific article
Language Label Description Also known as
English
Semiparametric estimation of volatility: some models and complexity choice in the adaptive functional-coefficient class
scientific article

    Statements

    Semiparametric estimation of volatility: some models and complexity choice in the adaptive functional-coefficient class (English)
    0 references
    29 July 2011
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    volatility
    0 references
    model choice
    0 references
    semiparametric models
    0 references
    adaptive functional-coefficient model
    0 references
    curse of dimensionality
    0 references
    0 references
    0 references
    0 references
    0 references