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Nonparametric Autoregression with Multiplicative Volatility and Additive mean
8 references·11 citing·31 second hop
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1993Temporal Aggregation of Garch Processes678 cited
  • 1991Semiparametric ARCH Models482 cited
  • 1991An Empirical Assessment of Non-Linearities in Models of Exchange Rate Determination303 cited
  • 1997Local polynomial estimators of the volatility function in nonparametric autoregression259 cited
  • 1992Qualitative threshold ARCH models162 cited

Cited by

  • 2002An algorithm for nonparametric GARCH modelling82 cited
  • 2000Discrete time option pricing with flexible volatility estimation75 cited
  • 2005A semiparametric GARCH model for foreign exchange volatility74 cited
  • 2003Semiparametric estimation of Value at Risk71 cited
  • 2004THE LIVE METHOD FOR GENERALIZED ADDITIVE VOLATILITY MODELS49 cited
  • 2001Tree-structured Generalized Autoregressive Conditional Heteroscedastic Models46 cited
  • 2001L1 geometric ergodicity of a multivariate nonlinear AR model with an ARCH term

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44 cited
  • 2000Tree structured GARCH models35 cited
  • 2009Splines for Financial Volatility30 cited
  • 2009Semiparametric Estimator of Time Series Conditional Variance30 cited
  • 2009Semiparametric and Nonparametric ARCH Modeling26 cited