Splines for financial volatility

DOI10.1111/J.1467-9868.2009.00696.XMaRDI QIDQ2920261zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

boostingfinancial time seriesvolatility\(B\)-splinesconditional variancegeneralized auto-regressive conditional heteroscedasticity model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical computation using splines (65D07) Statistical methods; risk measures (91G70)

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Cites work

• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• A Tale of Two Time Scales
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• Greedy function approximation: A gradient boosting machine.
• Local Likelihood for non‐parametric ARCH(1) models
• Local polynomial estimators of the volatility function in nonparametric autoregression
• MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
• MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS
• Minimum contrast estimators on sieves: Exponential bounds and rates of convergence
• Nonparametric Autoregression with Multiplicative Volatility and Additive mean
• Piecewise linear regularized solution paths
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• Some theory for generalized boosting algorithms
• Tree-structured generalized autoregressive conditional heteroscedastic models
• Uniform laws of large numbers and stochastic Lipschitz-continuity
• WEAK DEPENDENCE: MODELS AND APPLICATIONS TO ECONOMETRICS

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

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