Nonparametric prediction for the time-dependent volatility of the security price

DOI10.1007/BF00868005zbMath1153.91527MaRDI QIDQ1000391

Atsuyuki Kogure

Publication date: 6 February 2009

Published in: Financial Engineering and the Japanese Markets (Search for Journal in Brave)

zbMATH Keywords

kernel methodsnonparametric predictiontime-dependent volatility

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items (1)

Functional data analysis for volatility

Cites Work

• Choosing a kernel regression estimator. With comments and a rejoinder by the authors
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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