Localized realized volatility modeling

DOI10.1198/JASA.2010.AP09039MaRDI QIDQ5255678zbMATH OpenOpenAlexFDO

Authors Ying Chen, Uta Pigorsch, Wolfgang K. Härdle

Publication date 17 June 2015

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL http://edoc.hu-berlin.de/series/sfb-649-papers/2009-3/PDF/3.pdf

zbMATH Keywords

adaptive procedureautoregressive modellinglocal approach

Mathematics Subject Classification ID

Point estimation (62F10) Sequential statistical analysis (62L10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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• An Adaptive Functional Autoregressive Forecast Model to Predict Electricity Price Curves
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