Splines for financial volatility
DOI10.1111/J.1467-9868.2009.00696.XzbMATH Open1250.91103OpenAlexW2077364631MaRDI QIDQ2920261FDOQ2920261
Authors: Francesco Audrino, Peter Bühlmann 
Publication date: 25 October 2012
Published in: Journal of the Royal Statistical Society. Series B. Statistical Methodology (Search for Journal in Brave)
Full work available at URL: http://ux-tauri.unisg.ch/RePEc/usg/dp2007/DP-11-Au.pdf
Recommendations
- Spline estimation of a semiparametric GARCH model
- Modeling time-varying unconditional variance by means of a free-knot spline-GARCH model
- Tree-structured generalized autoregressive conditional heteroscedastic models
- Semiparametric stochastic volatility modelling using penalized splines
- Functional data analysis for volatility
boostingfinancial time seriesvolatility\(B\)-splinesconditional variancegeneralized auto-regressive conditional heteroscedasticity model
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical computation using splines (65D07) Statistical methods; risk measures (91G70)
Cites Work
- Greedy function approximation: A gradient boosting machine.
- Title not available (Why is that?)
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- Boosting for high-dimensional linear models
- Piecewise linear regularized solution paths
- Qualitative threshold ARCH models
- MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS
- A Tale of Two Time Scales
- Minimum contrast estimators on sieves: Exponential bounds and rates of convergence
- Local polynomial estimators of the volatility function in nonparametric autoregression
- WEAK DEPENDENCE: MODELS AND APPLICATIONS TO ECONOMETRICS
- MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
- Nonparametric Autoregression with Multiplicative Volatility and Additive mean
- Consistent ranking of volatility models
- An Introduction to Functional Central Limit Theorems for Dependent Stochastic Processes
- Tree-structured generalized autoregressive conditional heteroscedastic models
- Some theory for generalized boosting algorithms
- Estimating high-frequency foreign exchange rate volatility with nonparametric ARCH models
- Local Likelihood for non‐parametric ARCH(1) models
- Uniform laws of large numbers and stochastic Lipschitz-continuity
Cited In (8)
- Greedy algorithms for prediction
- Boosting techniques for nonlinear time series models
- Statistical inference for nonparametric GARCH models
- Semiparametric GARCH via Bayesian Model Averaging
- Modeling time-varying unconditional variance by means of a free-knot spline-GARCH model
- Hybrid model for stock market volatility
- Spline confidence bands for variance functions in nonparametric time series regressive models
- Bayesian modelling of time-varying conditional heteroscedasticity
This page was built for publication: Splines for financial volatility
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2920261)
