An algorithm for nonparametric GARCH modelling.

DOI10.1016/S0167-9473(02)00080-4zbMath1043.68108OpenAlexW2005908614MaRDI QIDQ1852883

Alexander J. McNeil, Peter Bühlmann

Publication date: 21 January 2003

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-9473(02)00080-4

zbMATH Keywords

Nonparametric methodsGARCH modellingVolatility estimation

Mathematics Subject Classification ID

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• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Modelling the persistence of conditional variances
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Weak convergence and distributional assumptions for a general class of nonliner arch models
• Nonparametric Autoregression with Multiplicative Volatility and Additive mean

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