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

DOI10.1016/S0378-3758(97)00144-4MaRDI QIDQ1299545zbMATH OpenFDO

Authors Christian M. Hafner

Publication date 14 June 2000

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

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)

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Cites work

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• From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
• KERNEL REGRESSION SMOOTHING OF TIME SERIES
• Local polynomial estimators of the volatility function in nonparametric autoregression
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• Tail behaviour of the stationary density of general non-linear autoregressive processes of order 1
• Temporal Aggregation of Garch Processes

Cited in

(15)

• Finite nonparametric grach model for foreign exchange volatility
• A semiparametric GARCH model for foreign exchange volatility
• scientific article; zbMATH DE number 5116811 (Why is no real title available?)
• Non-parametric estimation of a multiscale CHARN model using SVR
• Local Estimation in AR Models with Nonparametric ARCH Errors
• scientific article; zbMATH DE number 1304898 (Why is no real title available?)
• Estimating function approach for CHARN models
• Nonparametric estimation of structural models for high-frequency currency market data
• scientific article; zbMATH DE number 5010681 (Why is no real title available?)
• Durations, volume and the prediction of financial returns in transaction time
• Local Likelihood for non‐parametric ARCH(1) models
• Splines for financial volatility
• Estimation of nonlinear autoregressive models using design-adapted wavelets
• ARCH Models and an Application on Exchange Rate Volatility: ARCH and GARCH Models
• scientific article; zbMATH DE number 6448042 (Why is no real title available?)

Describes a project that uses

Uses Software

• S-PLUS
• R

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