Nonparametric Autoregression with Multiplicative Volatility and Additive mean
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- Curve of correlation for time series
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- Semi-parametric estimation and forecasting for exogenous log-GARCH models
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- scientific article; zbMATH DE number 1329170 (Why is no real title available?)
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- Finite nonparametric grach model for foreign exchange volatility
- Specification testing in nonparametric AR‐ARCH models
- Identification of Non-Linear Additive Autoregressive Models
- Functional Coefficient Regression Models for Non-linear Time Series: A Polynomial Spline Approach
- Spline-backfitted kernel smoothing of additive coefficient model
- THE LIVE METHOD FOR GENERALIZED ADDITIVE VOLATILITY MODELS
- Oracally Efficient Two-Step Estimation of Generalized Additive Model
- Local Likelihood for non‐parametric ARCH(1) models
- Testing for Serial Independence: Beyond the Portmanteau Approach
- Testing additivity in generalized nonparametric regression models with estimated parameters
- Semi- and nonparametric ARCH processes
- Nonparametric volatility prediction
- Nonlinear autoregressive model with stochastic volatility innovations: semiparametric and Bayesian approach
- Efficient and fast spline-backfitted kernel smoothing of additive models
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