Bootstrapping nonparametric estimators of the volatility function.

DOI10.1016/S0304-4076(03)00140-4zbMath1033.62039OpenAlexW1971725623MaRDI QIDQ1421318

Jürgen Franke, Jean-Pierre Stockis, Michael H. Neumann

Publication date: 26 January 2004

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(03)00140-4

zbMATH Keywords

BootstrapVolatilityARCH processConfidence bandNonparametric estimates

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Nonparametric statistical resampling methods (62G09)

Related Items (9)

Testing for the presence of jump components in jump diffusion models ⋮ Semi- and nonparametric ARCH processes ⋮ Bootstrapping nonparametric estimators of the volatility function. ⋮ Estimating function approach for CHARN models ⋮ On geometric ergodicity of CHARME models ⋮ Semiparametric estimation of volatility: some models and complexity choice in the adaptive functional-coefficient class ⋮ Forecasting volatility with support vector machine-based GARCH model ⋮ Local Estimation in AR Models with Nonparametric ARCH Errors ⋮ Stationary bootstrapping for non-parametric estimator of nonlinear autoregressive model

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