Estimating high-frequency foreign exchange rate volatility with nonparametric ARCH models

DOI10.1016/S0378-3758(97)00144-4zbMath0937.62106MaRDI QIDQ1299545

Christian M. Hafner

Publication date: 14 June 2000

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

zbMATH Keywords

ARCHvolatilityEGARCHconditional variances

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Related Items (7)

Non-parametric estimation of a multiscale CHARN model using SVR ⋮ Splines for Financial Volatility ⋮ Estimating function approach for CHARN models ⋮ Durations, volume and the prediction of financial returns in transaction time ⋮ Local Likelihood for non‐parametric ARCH(1) models ⋮ Local Estimation in AR Models with Nonparametric ARCH Errors ⋮ Estimation of nonlinear autoregressive models using design-adapted wavelets

Uses Software

• R
• S-PLUS

Cites Work

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