THE LIVE METHOD FOR GENERALIZED ADDITIVE VOLATILITY MODELS

DOI10.1017/S026646660420603XMaRDI QIDQ5314883zbMATH OpenOpenAlexFDO

Authors Woo Cheol Kim, Oliver Linton

Publication date 5 September 2005

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s026646660420603x

zbMATH Keywords

GANARCHoracle standards

Mathematics Subject Classification ID

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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Cites work

• A kernel method of estimating structured nonparametric regression based on marginal integration
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• An Analysis of Transformations for Additive Nonparametric Regression
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• EFFICIENT ESTIMATION OF GENERALIZED ADDITIVE NONPARAMETRIC REGRESSION MODELS
• Efficient estimation of conditional variance functions in stochastic regression
• Estimating Optimal Transformations for Multiple Regression and Correlation
• Estimating multiplicative and additive hazard functions by kernel methods
• Estimation of additive regression models with known links
• Fitting a bivariate additive model by local polynomial regression
• Functional-Coefficient Autoregressive Models
• Generalized Additive Models: Some Applications
• Linear smoothers and additive models
• Local nonlinear least squares: using parametric information in nonparametric regression
• Local polynomial estimators of the volatility function in nonparametric autoregression
• MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
• Miscellanea. Efficient estimation of additive nonparametric regression models
• Multivariate regression estimation: Local polynomial fitting for time series
• NONPARAMETRIC ESTIMATION OF ADDITIVE NONLINEAR ARX TIME SERIES: LOCAL LINEAR FITTING AND PROJECTIONS
• Nonparametric Autoregression with Multiplicative Volatility and Additive mean
• Nonparametric Estimation of a Generalized Additive Model With an Unknown Link Function
• Nonparametric Identification of Nonlinear Time Series: Projections
• Nonparametric vector autoregression
• Some Limit Theorems for Random Functions. I
• The dimensionality reduction principle for generalized additive models
• Versions of Kernel-Type Regression Estimators

Cited in

(6)

• Local instrumental variable method for the generalized additive-interactive nonlinear volatility model estimation
• scientific article; zbMATH DE number 5669994 (Why is no real title available?)
• Nonparametric volatility prediction
• Semi- and nonparametric ARCH processes
• An improved generalized spectral test for conditional mean models in time series with conditional heteroskedasticity of unknown form
• Semiparametric estimation of volatility: some models and complexity choice in the adaptive functional-coefficient class

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