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Locally weighted autoregression

Feng, Yuanhua; Heiler, Siegfried - In: Institutional arrangements for global economic integration, (pp. 371-388). 2000

Persistent link: https://www.econbiz.de/10001533889

A simple approach to the estimation of continuous time CEV stochastic volatility models of the short-term rate

Fornari, Fabio; Mele, Antonio - 2001

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On the quantile regression based tests for asymmetry in stock return volatility

Park, Beum-jo - In: Asian economic journal : journal of the East Asian … 16 (2002) 2, pp. 175-191

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Nonlinear time series analysis with applications to foreign exchange rate volatility : with 29 tables

Hafner, Christian M. - 1998

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Small-sample properties of estimators in an ARCH(1) and GARCH(1,1) model with a generalized error distribution : a robustness study

Pauly, Ralf; Kosater, Peter - 2005

GARCH Models have become a workhouse in volatility forecasting of financial and monetary market time series. In this article, we assess the small sample properties in estimation and the performance in volatility forecasting of four competing distribution free methods, including quasi-maximum...

Persistent link: https://www.econbiz.de/10009660996