Nonparametric modelling and estimation of stochastic volatility
From MaRDI portal
Publication:3582671
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)
Recommendations
Cited in
(26)- Bayesian nonparametric modelling of the return distribution with stochastic volatility
- scientific article; zbMATH DE number 5944098 (Why is no real title available?)
- Nonparametric estimation for stochastic volatility models
- scientific article; zbMATH DE number 5688778 (Why is no real title available?)
- An empirical analysis of the volatility of the Japanese stock price index: a non-parametric approach
- Efficient nonparametric estimation and inference for the volatility function
- Nonparametric prediction for the time-dependent volatility of the security price
- Root-\(T\) consistent density estimation in GARCH models
- Nonparametric volatility density estimation for discrete time models
- Nonparametric Estimation Methods of Integrated Multivariate Volatilities
- Nonparametric estimation for stochastic volatility models
- Kernel deconvolution of stochastic volatility models
- Non-parametric volatility estimation in continuous time
- Estimation of stochastic volatility models by nonparametric filtering
- Modeling long term return distribution and nonparametric market risk estimation
- NONPARAMETRIC STOCHASTIC VOLATILITY
- An algorithm for nonparametric GARCH modelling.
- Nonparametric volatility density estimation
- Nonparametric estimation of volatility models with serially dependent innovations
- Application in stochastic volatility models of nonlinear regression with stochastic design
- Statistical inference for nonparametric GARCH models
- Nonparametric estimation of stochastic volatility models
- NONPARAMETRIC ESTIMATION OF VOLATILITY FUNCTIONS: THE LOCAL EXPONENTIAL ESTIMATOR
- Non-stationary non-parametric volatility model
- Semiparametric stochastic volatility modelling using penalized splines
- Nonparametric methods for volatility density estimation
This page was built for publication: Nonparametric modelling and estimation of stochastic volatility
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3582671)
