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Nonparametric Autoregression with Multiplicative Volatility and Additive mean

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Cited by:

  1. Oliver Linton & Pedro Gozalo, 1995. "Testing Additivity in Generalized Nonparametric Regression Models," Cowles Foundation Discussion Papers 1106, Cowles Foundation for Research in Economics, Yale University.
  2. O. Linton & E. Mammen, 2005. "Estimating Semiparametric ARCH(∞) Models by Kernel Smoothing Methods," Econometrica, Econometric Society, vol. 73(3), pages 771-836, May.
  3. Ming Chen & Qiongxia Song, 2016. "Semi-parametric estimation and forecasting for exogenous log-GARCH models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 25(1), pages 93-112, March.
  4. Oliver Linton & E. Mammen & J. Nielsen, 1997. "The Existence and Asymptotic Properties of a Backfitting Projection Algorithm Under Weak Conditions," Cowles Foundation Discussion Papers 1160, Cowles Foundation for Research in Economics, Yale University.
  5. Francesco Audrino, 2005. "Local Likelihood for non‐parametric ARCH(1) models," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(2), pages 251-278, March.
  6. Yang, Hu & Wu, Xingcui, 2011. "Semiparametric EGARCH model with the case study of China stock market," Economic Modelling, Elsevier, vol. 28(3), pages 761-766.
  7. Linton, Oliver & Mammen, Enno, 2003. "Estimating semiparametric ARCH (8) models by kernel smoothing methods," LSE Research Online Documents on Economics 2187, London School of Economics and Political Science, LSE Library.
  8. Heejoon Han & Shen Zhang, 2012. "Non‐stationary non‐parametric volatility model," Econometrics Journal, Royal Economic Society, vol. 15(2), pages 204-225, June.
  9. Neumeyer, Natalie & Omelka, Marek & Hudecová, Šárka, 2019. "A copula approach for dependence modeling in multivariate nonparametric time series," Journal of Multivariate Analysis, Elsevier, vol. 171(C), pages 139-162.
  10. Jing Wang & Lijian Yang, 2009. "Efficient and fast spline-backfitted kernel smoothing of additive models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 61(3), pages 663-690, September.
  11. Francesco Audrino & Peter Bühlmann, 2009. "Splines for financial volatility," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 71(3), pages 655-670, June.
  12. Kim, Woocheol & Linton, Oliver, 2003. "A local instrumental variable estimation method for generalized additive volatility models," LSE Research Online Documents on Economics 2028, London School of Economics and Political Science, LSE Library.
  13. Mohamed Chikhi & Claude Diebolt, 2010. "Nonparametric analysis of financial time series by the Kernel methodology," Quality & Quantity: International Journal of Methodology, Springer, vol. 44(5), pages 865-880, August.
  14. CHIKHI, Mohamed, 2009. "Identification non paramétrique d’un processus non linéaire hétéroscédastique [Nonparametric identification of heteroscedastic nonlinear process]," MPRA Paper 82108, University Library of Munich, Germany, revised 2009.
  15. Yang, Lijian, 2006. "A semiparametric GARCH model for foreign exchange volatility," Journal of Econometrics, Elsevier, vol. 130(2), pages 365-384, February.
  16. Siegfried Heiler, 1999. "A Survey on Nonparametric Time Series Analysis," Finance 9904005, University Library of Munich, Germany.
  17. Buhlmann, Peter & McNeil, Alexander J., 2002. "An algorithm for nonparametric GARCH modelling," Computational Statistics & Data Analysis, Elsevier, vol. 40(4), pages 665-683, October.
  18. Christian M. Hafner & Wolfgang HÄrdle, 2000. "Discrete time option pricing with flexible volatility estimation," Finance and Stochastics, Springer, vol. 4(2), pages 189-207.
  19. Chikhi, Mohamed & Terraza, Michel, 2002. "Un essai de prévision non paramétrique de l'action France Télécom [A nonparametric prediction test of the France Telecom stock proces]," MPRA Paper 77268, University Library of Munich, Germany, revised Dec 2003.
  20. Lu, Zudi & Jiang, Zhenyu, 2001. "L1 geometric ergodicity of a multivariate nonlinear AR model with an ARCH term," Statistics & Probability Letters, Elsevier, vol. 51(2), pages 121-130, January.
  21. Kreiss, Jens-Peter & Neumann, Michael H. & Yao, Qiwei, 2008. "Bootstrap tests for simple structures in nonparametric time series regression," LSE Research Online Documents on Economics 24135, London School of Economics and Political Science, LSE Library.
  22. Luca Bagnato & Lucio De Capitani & Antonio Punzo, 2014. "Detecting serial dependencies with the reproducibility probability autodependogram," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 98(1), pages 35-61, January.
  23. Heiler, Siegfried, 1999. "A Survey on Nonparametric Time Series Analysis," CoFE Discussion Papers 99/05, University of Konstanz, Center of Finance and Econometrics (CoFE).
  24. Luca Bagnato & Lucio De Capitani & Antonio Punzo, 2018. "Testing for Serial Independence: Beyond the Portmanteau Approach," The American Statistician, Taylor & Francis Journals, vol. 72(3), pages 219-238, July.
  25. Gozalo, Pedro L. & Linton, Oliver B., 2001. "Testing additivity in generalized nonparametric regression models with estimated parameters," Journal of Econometrics, Elsevier, vol. 104(1), pages 1-48, August.
  26. Rong Liu & Lijian Yang & Wolfgang K. Härdle, 2013. "Oracally Efficient Two-Step Estimation of Generalized Additive Model," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 108(502), pages 619-631, June.
  27. Maria Mohr & Natalie Neumeyer, 2021. "Nonparametric volatility change detection," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(2), pages 529-548, June.
  28. Miao Yang & Lan Xue & Lijian Yang, 2016. "Variable selection for additive model via cumulative ratios of empirical strengths total," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 28(3), pages 595-616, September.
  29. Rolf Tschernig & Lijian Yang, 2000. "Nonparametric Lag Selection for Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 21(4), pages 457-487, July.
  30. CHIKHI, Mohamed, 2017. "Chocs exogènes et non linéarités dans les séries boursières: Application à la modélisation non paramétrique du cours de l'action Orange [Exogenous Shocks and nonlinearity in the stock exchange seri," MPRA Paper 76691, University Library of Munich, Germany, revised 2017.
  31. Fengler, M.R. & Mammen, E. & Vogt, M., 2015. "Specification and structural break tests for additive models with applications to realized variance data," Journal of Econometrics, Elsevier, vol. 188(1), pages 196-218.
  32. Neumann, Michael H., 1997. "On robustness of model-based bootstrap schemes in nonparametric time series analysis," SFB 373 Discussion Papers 1997,88, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
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