Nonparametric vector autoregression
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Publication:1299541
Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cited in
(43)- Durations, volume and the prediction of financial returns in transaction time
- Semi-recursive nonparametric identification in the general sense of a nonlinear heteroscedastic autoregression
- On change-points tests based on two-samples \(U\)-statistics for weakly dependent observations
- Estimating function approach for CHARN models
- Bandwidth selection for the local polynomial estimator under dependence: a simulation study
- A semiparametric GARCH model for foreign exchange volatility
- Stochastic modeling of particle movement with application to marine biology and oceanography
- Functional methods for time series prediction: a nonparametric approach
- On a Nadaraya-Watson estimator with two bandwidths
- Nonparametric Autoregression with Multiplicative Volatility and Additive mean
- Single‐Index Additive Vector Autoregressive Time Series Models
- Structural Vector Autoregressions With Nonnormal Residuals
- Iterations of dependent random maps and exogeneity in nonlinear dynamics
- A non-stationary paradigm for the dynamics of multivariate financial returns
- Nonparametric semirecursive identification in a wide sense of strong mixing processes
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- Bayesian nonparametric vector autoregressive models
- Functional coefficient autoregressive models for vector time series
- Nonparametric volatility prediction
- Asymptotic properties of local polynomial regression with missing data and correlated errors
- Nonparametric estimation of structural models for high-frequency currency market data
- Multiple-index approach to multiple autoregressive time series model
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- Non-parametric estimation of a multiscale CHARN model using SVR
- Local polynomial regression smoothers with AR-error structure.
- A Multivariate Quantile Predictor
- Semi- and nonparametric ARCH processes
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- Developing nonparametric conditional heteroscedastic autoregressive nonlinear model by using maximum likelihood method
- A copula approach for dependence modeling in multivariate nonparametric time series
- THE LIVE METHOD FOR GENERALIZED ADDITIVE VOLATILITY MODELS
- Kernel estimates of the mean and the volatility functions in a nonlinear autoregressive model with ARCH errors
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- LOCAL POLYNOMIAL REGRESSION ESTIMATION WITH CORRELATED ERRORS
- Asymptotic optimality of estimating function estimator for CHARN model
- Finite nonparametric grach model for foreign exchange volatility
- Nonparametric identification of positive eigenfunctions
- Nonlinear Dynamic Structures
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