Nonparametric estimation and forecasting for time-varying coefficient realized volatility models
Xiangjin B. Chen and Jiti Gao, Degui Li, Param Silvapulle
| Year of publication: |
January 2018
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|---|---|
| Authors: | Chen, Xiangjin B. ; Gao, Jiti ; Li, Degui ; Silvapulle, Paramsothy |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 36.2018, 1, p. 88-100
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| Subject: | Bootstrap method | Heterogenous autoregressive model | Local linear estimation | Locally stationary process | Nonparametric method | Time-varying coefficient models | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Schätzung | Estimation | Nichtparametrisches Verfahren | Nonparametric statistics | Bootstrap-Verfahren | Bootstrap approach | ARCH-Modell | ARCH model | Nichtparametrische Schätzung | Nonparametric estimation | Stochastischer Prozess | Stochastic process | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2016.1138118 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011894402