Nonparametric Modeling in Financial Time Series

DOI10.1007/978-3-540-71297-8_40MaRDI QIDQ3646987zbMATH OpenOpenAlexFDO

Authors Jürgen Franke, Enno Mammen, Jens-Peter Kreiß

Publication date 27 November 2009

Published in Handbook of Financial Time Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-540-71297-8_40

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(14)

• Bayesian statistical computations of nonlinear financial time series models: A survey with illustrations
• Quantile smoothing in financial time series
• Fast multivariate empirical cumulative distribution function with connection to kernel density estimation
• A selective overview of nonparametric methods in financial econometrics
• Comment: A selective overview of nonparametric methods in financial econometrics
• A note on non-parametric testing for Gaussian innovations in AR-ARCH models
• Towards a computationally tractable maximum entropy principle for nonstationary financial time series
• scientific article; zbMATH DE number 5002328 (Why is no real title available?)
• Financial applications of sequential nonparametric curve estimation
• Some recent developments in nonparametric finance
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• Non-parametric estimation of historical volatility
• MODELING FINANCIAL SERIES DISTRIBUTIONS: A VERSATILE DATA FITTING APPROACH
• Parametric and nonparametric models and methods in financial econometrics

Describes a project that uses

Uses Software

• CAViaR

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