scientific article; zbMATH DE number 7578230

MaRDI QIDQ5101698zbMATH OpenFDO

Authors Santiago Gallón, Karoll Gómez

Publication date 30 August 2022

Full work available at URL http://www.scielo.org.co/scielo.php?script=sci_arttext&pid=S0120-17512010000100003&lng=en&nrm=iso&tlng=en

zbMATH Keywords

autoregressive conditional heteroscedasticitylocal polynomial regressionnonlinear time seriesnonparametric regressiontime series analysisvariance function estimation

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A Review of Nonparametric Time Series Analysis
• A test for independence based on the correlation dimension
• ARCH modeling in finance. A review of the theory and empirical evidence
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Efficient estimation of conditional variance functions in stochastic regression
• Estimation in conditionally heteroscedatic time series models.
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Functional-Coefficient Autoregressive Models
• Generalized autoregressive conditional heteroscedasticity
• Handbook of Financial Time Series
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• Local linear regression smoothers and their minimax efficiencies
• Local polynomial estimators of the volatility function in nonparametric autoregression
• Modelling the persistence of conditional variances
• Multivariate Stochastic Variance Models
• Nonlinear autoregressive processes
• Nonlinear Time Series
• Nonlinear time series. Nonparametric and parametric methods
• Nonparametric and semiparametric models.
• Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality
• NONPARAMETRIC ESTIMATION OF VOLATILITY FUNCTIONS: THE LOCAL EXPONENTIAL ESTIMATOR
• NONPARAMETRIC ESTIMATORS FOR TIME SERIES
• Nonparametric Pricing of Interest Rate Derivative Securities
• Nonparametric risk management and implied risk aversion
• Robust Locally Weighted Regression and Smoothing Scatterplots

Describes a project that uses

Uses Software

• locpol

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