Finite nonparametric grach model for foreign exchange volatility

DOI10.1080/03610920008832548zbMath1012.62111OpenAlexW2000311202WikidataQ61865781 ScholiaQ61865781MaRDI QIDQ4541728

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Publication date: 28 July 2002

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920008832548

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)

Related Items (1)

A semiparametric GARCH model for foreign exchange volatility

Cites Work

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• Nonparametric vector autoregression
• Generalized autoregressive conditional heteroscedasticity
• Limiting behavior of U-statistics for stationary, absolutely regular processes
• A kernel method of estimating structured nonparametric regression based on marginal integration
• Multivariate Bandwidth Selection for Local Linear Regression
• Nonparametric Autoregression with Multiplicative Volatility and Additive mean

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