Pages that link to "Item:Q1879945"
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The following pages link to Statistical inference for time-inhomogeneous volatility models. (Q1879945):
Displaying 43 items.
- On the online estimation of local constant volatilities (Q76074) (← links)
- Ensemble Binary Segmentation for irregularly spaced data with change-points (Q139553) (← links)
- Efficient Bayesian inference for stochastic time-varying copula models (Q434914) (← links)
- Adaptive dynamic Nelson-Siegel term structure model with applications (Q469578) (← links)
- Online analysis of time series by the \(Q_n\) estimator (Q961429) (← links)
- Multiscale local change point detection with applications to value-at-risk (Q1018645) (← links)
- A Bayesian analysis of moving average processes with time-varying parameters (Q1020904) (← links)
- Fourier methods for analyzing piecewise constant volatilities (Q1622108) (← links)
- TVICA -- time varying independent component analysis and its application to financial data (Q1623451) (← links)
- Semi-analytical method for the pricing of barrier options in case of time-dependent parameters (with Matlab\(^\circledR\) codes) (Q1642274) (← links)
- Managing risk with a realized copula parameter (Q1659106) (← links)
- Simultaneous quantile inference for non-stationary long-memory time series (Q1708990) (← links)
- Adaptive drift estimation for nonparametric diffusion model. (Q1848800) (← links)
- Recursive computation of piecewise constant volatilities (Q1927142) (← links)
- Adaptive log-linear zero-inflated generalized Poisson autoregressive model with applications to crime counts (Q2044273) (← links)
- Choosing between persistent and stationary volatility (Q2112824) (← links)
- Multiple change point detection and validation in autoregressive time series data (Q2208378) (← links)
- Detecting relevant changes in the mean of nonstationary processes -- a mass excess approach (Q2284384) (← links)
- Detecting gradual changes in locally stationary processes (Q2343960) (← links)
- Portfolio value at risk based on independent component analysis (Q2372954) (← links)
- A selective overview of nonparametric methods in financial econometrics (Q2381754) (← links)
- Normalized least-squares estimation in time-varying ARCH models (Q2426622) (← links)
- Tracking volatility (Q2432948) (← links)
- Analysis of non-stationary dynamics in the financial system (Q2453048) (← links)
- Estimation and prediction of a non-constant volatility (Q2471733) (← links)
- Nonparametric inference with generalized likelihood ratio tests (With comments and rejoinder) (Q2477585) (← links)
- A note on state space representations of locally stationary wavelet time series (Q2518952) (← links)
- Nonstationary autoregressive conditional duration models (Q2691715) (← links)
- Time-varying asymmetry and tail thickness in long series of daily financial returns (Q2691782) (← links)
- Testing Semiparametric Hypotheses in Locally Stationary Processes (Q2852620) (← links)
- Nonparametric multivariate breakpoint detection for the means, variances, and covariances of a discrete time stochastic process (Q3145403) (← links)
- Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models (Q3161675) (← links)
- Forecasting using locally stationary wavelet processes (Q3401362) (← links)
- On Estimation of Volatility Surface and Prediction of Future Spot Volatility (Q3424327) (← links)
- MODELING NONSTATIONARY AND LEPTOKURTIC FINANCIAL TIME SERIES (Q3450343) (← links)
- TESTING FOR STRUCTURAL CHANGE IN TIME-VARYING NONPARAMETRIC REGRESSION MODELS (Q3450348) (← links)
- Testing for Linear Regression Relationships in Randomly Right-Censored Varying-Coefficient Models (Q3589993) (← links)
- Semiparametric estimation of Value at Risk (Q4458356) (← links)
- A Survey on Time-Varying Copulas: Specification, Simulations, and Application (Q5080162) (← links)
- Nonparametric estimation of value-at-risk (Q5123417) (← links)
- A robust statistical approach to select adequate error distributions for financial returns (Q5138523) (← links)
- Nonparametric estimation of a time-varying GARCH model (Q5299865) (← links)
- On the implicit Black–Scholes formula (Q5451162) (← links)
