An algorithm for nonparametric GARCH modelling.
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Cites work
- scientific article; zbMATH DE number 47282 (Why is no real title available?)
- ARCH modeling in finance. A review of the theory and empirical evidence
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Generalized autoregressive conditional heteroscedasticity
- Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
- Modelling the persistence of conditional variances
- Nonparametric Autoregression with Multiplicative Volatility and Additive mean
- Optimal global rates of convergence for nonparametric regression
- State space and hidden Markov models
- Weak convergence and distributional assumptions for a general class of nonliner arch models
Cited in
(23)- Finite nonparametric grach model for foreign exchange volatility
- Semiparametric autoregressive conditional duration model: theory and practice
- 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
- Ai algorithms for fitting GARCH parameters to empirical financial data
- 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
- Stochastic Variance Models in Discrete Time with Feedforward Neural Networks
- Root-\(T\) consistent density estimation in GARCH models
- Estimation of nonlinear autoregressive models using design-adapted wavelets
- A light-tailed conditionally heteroscedastic model with applications to river flows
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