Dynamic Integration of Time- and State-Domain Methods for Volatility Estimation

DOI10.1198/016214507000000176zbMath1172.62329arXivmath/0506029OpenAlexW2035465993MaRDI QIDQ5307662

Jiancheng Jiang, Yingying Fan, Jianqing Fan

Publication date: 18 September 2007

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0506029

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05)

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