Non-parametric estimation of a multiscale CHARN model using SVR

DOI10.1080/14697680802039865MaRDI QIDQ3182652zbMATH OpenOpenAlexFDO

Authors Amir Safari, Detlef Seese

Publication date 12 October 2009

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680802039865

zbMATH Keywords

ARCHheteroskedasticitymultiresolution analysisnon-Gaussian distributionsscalingvolatility modellingwavelet transform

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

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Cites work

• A theory for multiresolution signal decomposition: the wavelet representation
• Analysis of Subtidal Coastal Sea Level Fluctuations Using Wavelets
• Estimating high-frequency foreign exchange rate volatility with nonparametric ARCH models
• scientific article; zbMATH DE number 2186657 (Why is no real title available?)
• KERNEL REGRESSION SMOOTHING OF TIME SERIES
• Local polynomial estimators of the volatility function in nonparametric autoregression
• Multifractality of river runoff and precipitation: comparison of fluctuation analysis and wavelet methods
• Multirate, multiresolution, recursive Kalman filter.
• NON- AND SEMIPARAMETRIC IDENTIFICATION OF SEASONAL NONLINEAR AUTOREGRESSION MODELS
• Nonparametric vector autoregression
• Qualitative threshold ARCH models
• The long-term memory prediction by multiscale decomposition.
• Wavelet-based estimators of scaling behavior

Cited in

(1)

• Estimating function approach for CHARN models

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