Bootstrapping nonparametric estimators of the volatility function.

DOI10.1016/S0304-4076(03)00140-4MaRDI QIDQ1421318zbMATH OpenOpenAlexFDO

Authors Michael H. Neumann, Jean-Pierre Stockis, Jürgen Franke

Publication date 26 January 2004

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0304-4076(03)00140-4

zbMATH Keywords

ARCH processBootstrapConfidence bandNonparametric estimatesVolatility

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric statistical resampling methods (62G09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Bootstrap of kernel smoothing in nonlinear time series
• Bootstrapping nonparametric estimators of the volatility function.
• Efficient estimation of conditional variance functions in stochastic regression
• scientific article; zbMATH DE number 48302 (Why is no real title available?)
• Introduction to the statistics of financial markets
• Invariance principles for absolutely regular empirical processes
• Limit theorems for \(U\)-processes
• Local polynomial estimators of the volatility function in nonparametric autoregression
• Mixing: Properties and examples
• MULTIVARIATE LOCAL POLYNOMIAL REGRESSION FOR TIME SERIES:UNIFORM STRONG CONSISTENCY AND RATES
• NONPARAMETRIC ESTIMATORS FOR TIME SERIES
• Nonparametric statistics for stochastic processes
• On the Strong Law of Large Numbers and Related Results for Quasi-Stationary Sequences
• Probability Inequalities for Sums of Bounded Random Variables
• Properties of the nonparametric autoregressive bootstrap
• Regression-type inference in nonparametric autoregression
• Threshold heteroskedastic models

Cited in

(13)

• Bootstrapping nonparametric estimators of the volatility function.
• Testing for the presence of jump components in jump diffusion models
• Bootstrapping the nonparametric ARCH regression model
• Bootstrap tests for parametric volatility structure in nonparametric autoregression
• Volatility estimation and bootstrap
• Semiparametric estimation of volatility: some models and complexity choice in the adaptive functional-coefficient class
• Forecasting volatility with support vector machine-based GARCH model
• Local Estimation in AR Models with Nonparametric ARCH Errors
• Estimating function approach for CHARN models
• Stationary bootstrapping for non-parametric estimator of nonlinear autoregressive model
• Bootstrapping realized multivariate volatility measures
• On geometric ergodicity of CHARME models
• Semi- and nonparametric ARCH processes

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