Nonparametric Estimation and Forecasting for Time-Varying Coefficient Realized Volatility Models

DOI10.1080/07350015.2016.1138118MaRDI QIDQ6623164zbMATH OpenFDO

Authors Jiti Gao, Degui Li, Param Silvapulle

Publication date 23 October 2024

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2016.1138118

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cited in

(3)

• Detecting long-range dependence for time-varying linear models
• A Nonparametric Nonclassical Measurement Error Approach to Estimating Intergenerational Mobility Elasticities
• Gamma-Driven Markov Processes and Extensions with Application to Realized Volatility

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