Splines for Financial Volatility

DOI10.1111/j.1467-9868.2009.00696.xzbMath1250.91103OpenAlexW2077364631MaRDI QIDQ2920261

Francesco Audrino, Peter Bühlmann

Publication date: 25 October 2012

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: http://ux-tauri.unisg.ch/RePEc/usg/dp2007/DP-11-Au.pdf

zbMATH Keywords

\(B\)-splinesvolatilityfinancial time seriesconditional varianceboostinggeneralized auto-regressive conditional heteroscedasticity model

Mathematics Subject Classification ID

Numerical computation using splines (65D07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)

Related Items (6)

Greedy algorithms for prediction ⋮ Boosting techniques for nonlinear time series models ⋮ Statistical inference for nonparametric GARCH models ⋮ Hybrid model for stock market volatility ⋮ Bayesian modelling of time-varying conditional heteroscedasticity ⋮ Spline confidence bands for variance functions in nonparametric time series regressive models

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