Finite nonparametric grach model for foreign exchange volatility

DOI10.1080/03610920008832548MaRDI QIDQ4541728zbMATH OpenOpenAlexWikidataFDO

Authors L. Yang

Publication date 28 July 2002

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610920008832548

Mathematics Subject Classification ID

Nonparametric estimation (62G05) 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

• A kernel method of estimating structured nonparametric regression based on marginal integration
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 991833 (Why is no real title available?)
• scientific article; zbMATH DE number 1136433 (Why is no real title available?)
• Limiting behavior of U-statistics for stationary, absolutely regular processes
• Multivariate Bandwidth Selection for Local Linear Regression
• Nonparametric Autoregression with Multiplicative Volatility and Additive mean
• Nonparametric vector autoregression

Cited in

(5)

• Estimating high-frequency foreign exchange rate volatility with nonparametric ARCH models
• A semiparametric GARCH model for foreign exchange volatility
• Empirical modelling of the DEM/USD and DEM/JPY foreign exchange rate: Structural shifts in GARCH-models and their implications
• scientific article; zbMATH DE number 6448042 (Why is no real title available?)
• Predicting the volatility of bitcoin returns based on kernel regression

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