Statistical analysis of financial time series under the assumption of local stationarity

DOI10.1080/14697680400000025zbMath1409.62211OpenAlexW4250145227MaRDI QIDQ4610227

Skander Slim, Stéphan Clémençon

Publication date: 15 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680400000025

zbMATH Keywords

financial time serieslocal stationaritynonparametric methodology

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Economic time series analysis (91B84)

Related Items (1)

Estimation and prediction of time-varying GARCH models through a state-space representation: a computational approach

Uses Software

• RiskMetrics

Cites Work

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