Estimating high-frequency foreign exchange rate volatility with nonparametric ARCH models

DOI10.1016/S0378-3758(97)00144-4zbMATH Open0937.62106MaRDI QIDQ1299545FDOQ1299545

Christian M. Hafner

Publication date: 14 June 2000

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

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zbMATH Keywords

volatilityARCHEGARCHconditional variances

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Cites Work

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• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Conditional Heteroskedasticity in Asset Returns: A New Approach
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• Temporal Aggregation of Garch Processes
• Local polynomial estimators of the volatility function in nonparametric autoregression
• DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
• NONPARAMETRIC ESTIMATORS FOR TIME SERIES
• A kernel method of estimating structured nonparametric regression based on marginal integration
• KERNEL REGRESSION SMOOTHING OF TIME SERIES
• Sufficient conditions for ergodicity and recurrence of Markov chains on a general state space
• Spline smoothing: The equivalent variable kernel method
• From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
• Tail behaviour of the stationary density of general non-linear autoregressive processes of order 1
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Cited In (14)

• Title not available (Why is that?)
• Non-parametric estimation of a multiscale CHARN model using SVR
• Local Estimation in AR Models with Nonparametric ARCH Errors
• Title not available (Why is that?)
• Estimating function approach for CHARN models
• Nonparametric estimation of structural models for high-frequency currency market data
• Title not available (Why is that?)
• Durations, volume and the prediction of financial returns in transaction time
• Local Likelihood for non‐parametric ARCH(1) models
• Splines for financial volatility
• ARCH Models and an Application on Exchange Rate Volatility: ARCH and GARCH Models
• Title not available (Why is that?)
• Estimation of nonlinear autoregressive models using design-adapted wavelets
• Finite nonparametric grach model for foreign exchange volatility

Uses Software

• R
• S-PLUS

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