An algorithm for nonparametric GARCH modelling.

DOI10.1016/S0167-9473(02)00080-4zbMATH Open1043.68108OpenAlexW2005908614MaRDI QIDQ1852883FDOQ1852883

Authors: Alexander J. McNeil, Peter Bühlmann 

Publication date: 21 January 2003

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-9473(02)00080-4

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zbMATH Keywords

Nonparametric methodsGARCH modellingVolatility estimation

Mathematics Subject Classification ID

Nonnumerical algorithms (68W05)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Title not available (Why is that?)
• Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• ARCH modeling in finance. A review of the theory and empirical evidence
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Optimal global rates of convergence for nonparametric regression
• State space and hidden Markov models
• Modelling the persistence of conditional variances
• Nonparametric Autoregression with Multiplicative Volatility and Additive mean
• Weak convergence and distributional assumptions for a general class of nonliner arch models

Cited In (22)

• Efficient nonparametric estimation and inference for the volatility function
• Implied volatility in oil markets
• Semi-parametric estimation and forecasting for exogenous log-GARCH models
• Boosting GARCH and neural networks for the prediction of heteroskedastic time series
• Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models
• Nonparametric volatility prediction
• Daily nonparametric ARCH(1) model estimation using intraday high frequency data
• Statistical inference for nonparametric GARCH models
• Non-parametric news impact curve: a variational approach
• Semiparametric GARCH via Bayesian Model Averaging
• Managing distribution changes in time series prediction
• Tail Index Estimation for Heavy-Tailed Models: Accommodation of Bias in Weighted Log-Excesses
• Forecasting interest rate volatility of the United Kingdom: evidence from over 150 years of data
• Local Likelihood for non‐parametric ARCH(1) models
• Minimum distance estimation of GARCH(1,1) models
• EMU equity markets' return variance and spillover effects from the short-term interest rate
• Root-\(T\) consistent density estimation in GARCH models
• Stochastic Variance Models in Discrete Time with Feedforward Neural Networks
• Estimation of nonlinear autoregressive models using design-adapted wavelets
• A light-tailed conditionally heteroscedastic model with applications to river flows
• Semiparametric autoregressive conditional duration model: theory and practice
• Finite nonparametric grach model for foreign exchange volatility

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