Nonparametric Autoregression with Multiplicative Volatility and Additive mean
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Publication:4939819
DOI10.1111/1467-9892.00159zbMath0932.62106OpenAlexW1515692018MaRDI QIDQ4939819
Lijian Yang, Jens Perch Nielsen, Wolfgang Karl Härdle
Publication date: 1 March 2000
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: http://edoc.hu-berlin.de/18452/4433
time serieslocal polynomial regressionstationary probability densitiesgeometric ergodicitygeometric mixingmarginal integrationadditive meanmultiplicative volatility
Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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