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Local polynomial estimators of the volatility function in nonparametric autoregression · Study

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ArticleLocal polynomial estimators of the volatility function in nonparametric autoregression

Wolfgang Karl Härdle1997

Article1997

Local polynomial estimators of the volatility function in nonparametric autoregression

Wolfgang Karl Härdle · Alexandre B. Tsybakov

259 citations·0/0 files stored·Journal of Econometrics

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Statistical Methods and Inference

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Semiparametric ARCH Models

Cited by

2011Volatility spillovers between food and energy markets: A semiparametric approach 2005Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing Methods1 2005A Selective Overview of Nonparametric Methods in Financial Econometrics 2003The Dynamics of Implied Volatilities: A Common Principal Components Approach 1999Nonparametric Autoregression with Multiplicative Volatility and Additive mean 1998Nonparametric vector autoregression 2004A Semiparametric Method for Estimating Local House Price Indices 2012Price volatility in food markets: can stock building mitigate price fluctuations?

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Year1997

Typearticle

Published1997-11-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations259

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/s0304-4076(97)00044-4

openalex_workW2070131928

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