Nonparametric modelling and estimation of stochastic volatility
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Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)
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- Nonparametric volatility density estimation
- An algorithm for nonparametric GARCH modelling.
- Nonparametric estimation of stochastic volatility models
- Semiparametric stochastic volatility modelling using penalized splines
- Nonparametric estimation for stochastic volatility models
- Bayesian nonparametric modelling of the return distribution with stochastic volatility
- Estimation of stochastic volatility models by nonparametric filtering
- An empirical analysis of the volatility of the Japanese stock price index: a non-parametric approach
- scientific article; zbMATH DE number 5944098 (Why is no real title available?)
- Statistical inference for nonparametric GARCH models
- Nonparametric Estimation Methods of Integrated Multivariate Volatilities
- scientific article; zbMATH DE number 5688778 (Why is no real title available?)
- Non-parametric volatility estimation in continuous time
- NONPARAMETRIC STOCHASTIC VOLATILITY
- Nonparametric volatility density estimation for discrete time models
- Kernel deconvolution of stochastic volatility models
- NONPARAMETRIC ESTIMATION OF VOLATILITY FUNCTIONS: THE LOCAL EXPONENTIAL ESTIMATOR
- Non-stationary non-parametric volatility model
- Nonparametric methods for volatility density estimation
- Efficient nonparametric estimation and inference for the volatility function
- Application in stochastic volatility models of nonlinear regression with stochastic design
- Root-\(T\) consistent density estimation in GARCH models
- Nonparametric estimation for stochastic volatility models
- Modeling long term return distribution and nonparametric market risk estimation
- Nonparametric estimation of volatility models with serially dependent innovations
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