Splines for Financial Volatility (Q2920261): Difference between revisions

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+An Introduction to Functional Central Limit Theorems for Dependent Stochastic Processes
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+WEAK DEPENDENCE: MODELS AND APPLICATIONS TO ECONOMETRICS
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+Local Likelihood for non‐parametric ARCH(1) models
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+Fractionally integrated generalized autoregressive conditional heteroskedasticity
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+Minimum contrast estimators on sieves: Exponential bounds and rates of convergence
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+Boosting for high-dimensional linear models
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+MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC  VOLATILITY MODELS
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+MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS
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+Greedy function approximation: A gradient boosting machine.
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+Qualitative threshold ARCH models
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+Estimating high-frequency foreign exchange rate volatility with nonparametric ARCH models
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+Consistent ranking of volatility models
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+Local polynomial estimators of the volatility function in nonparametric autoregression
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+Uniform laws of large numbers and stochastic Lipschitz-continuity
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+Piecewise linear regularized solution paths
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+Nonparametric Autoregression with Multiplicative Volatility and Additive mean
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+A Tale of Two Time Scales
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