Local polynomial estimators of the volatility function in nonparametric autoregression

DOI10.1016/S0304-4076(97)00044-4zbMATH Open0904.62047MaRDI QIDQ1372929FDOQ1372929

Authors: Wolfgang K. Härdle, Alexandre B. Tsybakov 

Publication date: 27 January 1999

Published in: Journal of Econometrics (Search for Journal in Brave)

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zbMATH Keywords

asymptotic normalitynonlinear time serieslocal polynomialsrates of convergencenonlinear autoregression

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cited In (98)

• Nonparametric estimation of a log-variance function in scale-space
• A least squares method for variance estimation in heteroscedastic nonparametric regression
• Nonparametric estimation of structural change points in volatility models for time series
• Nonparametric variance function estimation with missing data
• On the Uniform Strong Consistency of Local Polynomial Regression Under Dependence Conditions
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• Time-domain estimation of time-varying linear systems
• Nonparametric Sequential Minimax Estimation of the Drift Coefficient in Diffusion Processes
• Volatility estimation in a nonlinear heteroscedastic functional regression model with martingale difference errors
• Variance estimation for high-dimensional regression models
• Detections of changes in return by a wavelet smoother with conditional heteroscedastic volatility
• LOCAL POLYNOMIAL REGRESSION ESTIMATION WITH CORRELATED ERRORS
• An efficient nonparametric estimator for models with nonlinear dependence
• Non-parametric estimation of a multiscale CHARN model using SVR
• Modelling conditional variance function in industrial data: a case study
• Local Estimation in AR Models with Nonparametric ARCH Errors
• Generalized R-estimators under conditional heteroscedasticity
• Local \(M\)-estimation for conditional variance function with dependent data
• Partitioning estimation of local variance based on nearest neighbors under censoring
• Testing for multivariate volatility functions using minimum volume sets and inverse regression
• On Difference-Based Variance Estimation in Nonparametric Regression When the Covariate is High Dimensional
• Stochastic modeling of particle movement with application to marine biology and oceanography
• Nonparametric estimation of volatility models with serially dependent innovations
• Nonparametric vector autoregression
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• \(L_1\) geometric ergodicity of a multivariate nonlinear AR model with an ARCH term.
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• THE LIVE METHOD FOR GENERALIZED ADDITIVE VOLATILITY MODELS
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• Non‐parametric Analysis of Covariance – The Case of Inhomogeneous and Heteroscedastic Noise
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• NONPARAMETRIC ESTIMATION OF VOLATILITY FUNCTIONS: THE LOCAL EXPONENTIAL ESTIMATOR
• Nonparametric semirecursive identification in a wide sense of strong mixing processes
• Estimating and clustering curves in the presence of heteroscedastic errors
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• Estimation of nonlinear autoregressive models using design-adapted wavelets
• Nonparametric estimation of the conditional variance function with correlated errors
• A robust class of nonlinear autoregressive models with regression function and dependent innovations using semiparametric kernel estimation
• Efficient nonparametric estimation and inference for the volatility function
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• Local instrumental variable method for the generalized additive-interactive nonlinear volatility model estimation
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• On change-points tests based on two-samples \(U\)-statistics for weakly dependent observations
• Local composite quantile regression smoothing for Harris recurrent Markov processes
• Estimation of heteroscedasticity by local composite quantile regression and matrix decomposition
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Uses Software

• XploRe

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