scientific article; zbMATH DE number 1833047

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zbMath1002.62083MaRDI QIDQ4780494

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Publication date: 13 January 2003

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zbMATH Keywords

efficient estimator equivalent kernel local polynomial coefficient parameter DEM/GBP daily return nonparametric GARCH rule-of-thumb bandwidth volatility of foreign exchange daily returns

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (2)

A semiparametric GARCH model for foreign exchange volatility ⋮ Proportional functional coefficient time series models

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