Yang, Lijian; Härdle, Wolfgang; Nielsen, Jens P. - Sonderforschungsbereich 373, Quantifikation und … - 1998
For over a decade, nonparametric modelling has been successfully applied to study nonlinear structures in financial time series. It is well known that the usual nonparametric models often have less than satisfactory performance when dealing with more than one lag. When the mean has an additive...
