Nonparametric modelling and estimation of stochastic volatility

zbMATH Open1226.91002MaRDI QIDQ3582671FDOQ3582671

Authors: Andreas Dürkes 

Publication date: 24 August 2010

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Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Statistical methods; risk measures (91G70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02)

Cited In (26)

• Efficient nonparametric estimation and inference for the volatility function
• Application in stochastic volatility models of nonlinear regression with stochastic design
• Nonparametric volatility density estimation
• Nonparametric methods for volatility density estimation
• Nonparametric estimation of stochastic volatility models
• Bayesian nonparametric modelling of the return distribution with stochastic volatility
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• Non-stationary non-parametric volatility model
• Nonparametric estimation for stochastic volatility models
• Nonparametric estimation for stochastic volatility models
• Nonparametric estimation of volatility models with serially dependent innovations
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• Statistical inference for nonparametric GARCH models
• NONPARAMETRIC ESTIMATION OF VOLATILITY FUNCTIONS: THE LOCAL EXPONENTIAL ESTIMATOR
• Nonparametric prediction for the time-dependent volatility of the security price
• An algorithm for nonparametric GARCH modelling.
• NONPARAMETRIC STOCHASTIC VOLATILITY
• Nonparametric volatility density estimation for discrete time models
• Kernel deconvolution of stochastic volatility models
• An empirical analysis of the volatility of the Japanese stock price index: a non-parametric approach
• Root-\(T\) consistent density estimation in GARCH models
• Semiparametric stochastic volatility modelling using penalized splines
• Non-parametric volatility estimation in continuous time
• Nonparametric Estimation Methods of Integrated Multivariate Volatilities
• Modeling long term return distribution and nonparametric market risk estimation
• Estimation of stochastic volatility models by nonparametric filtering

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