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Local polynomial estimators of the volatility function in nonparametric autoregression
2 references·16 citing·42 second hop
Local polynomial estimators of the volatility function in nonparametric autoregression (1997)Local polynomial estimators of the volati…Semiparametric ARCH Models (1991)Semiparametric ARCH ModelsAutoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY (2016)NONPARAMETRIC ESTIMATION OF C…Price volatility in food markets: can stock building mitigate price fluctuations? (2012)Price volatility in food mark…Volatility spillovers between food and energy markets: A semiparametric approach (2011)Volatility spillovers between…Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications (2011)Tilted Nonparametric Estimati…Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model (2010)Estimation and Forecasting of…Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing Methods1 (2005)Estimating Semiparametric ARC…A Selective Overview of Nonparametric Methods in Financial Econometrics (2005)A Selective Overview of Nonpa…THE LIVE METHOD FOR GENERALIZED ADDITIVE VOLATILITY MODELS (2004)THE LIVE METHOD FOR GENERALIZ…Nonparametric estimation of structural change points in volatility models for time series (2004)Nonparametric estimation of s…A Semiparametric Method for Estimating Local House Price Indices (2004)A Semiparametric Method for E…The Dynamics of Implied Volatilities: A Common Principal Components Approach (2003)The Dynamics of Implied Volat…NONPARAMETRIC ESTIMATION OF VOLATILITY FUNCTIONS: THE LOCAL EXPONENTIAL ESTIMATOR (2002)NONPARAMETRIC ESTIMATION OF V…ESTIMATION IN AN ADDITIVE MODEL WHEN THE COMPONENTS ARE LINKED PARAMETRICALLY (2002)ESTIMATION IN AN ADDITIVE MOD…L1 geometric ergodicity of a multivariate nonlinear AR model with an ARCH term (2001)L1 geometric ergodicity of a …Nonparametric Autoregression with Multiplicative Volatility and Additive mean (1999)Nonparametric Autoregression …Nonparametric vector autoregression (1998)Nonparametric vector autoregr…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Measuring and Testing the Impact of News on Volatility (1993)Discrete time option pricing with flexible volatility estimation (2000)An algorithm for nonparametric GARCH modelling (2002)A semiparametric GARCH model for foreign exchange volatility (2005)Statistical analysis of cointegration vectors (1988)Multivariate Simultaneous Generalized ARCH (1995)Extreme Correlation of International Equity Markets (2001)Volatile and Extreme Food Prices, Food Security, and Policy: An Overview (2016)Modeling regime‐dependent agricultural commodity price volatilities (2017)The Pricing of Options and Corporate Liabilities (1973)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)ANOVA FOR DIFFUSIONS AND ITO PROCESSES1 (2008)Functional data analysis for volatility (2011)Harnessing LLMs for Temporal Data - A Study on Explainable Financial Time Series Forecasting (2023)Option pricing when underlying stock returns are discontinuous (1976)A semiparametric factor model for implied volatility surface dynamics (2006)An empirical comparison of continuous-time models of implied volatility indices (2007)Predictable Dynamics in Higher-Order Risk-Neutral Moments: Evidence from the S&P 500 Options (2013)“Options, Futures, and Other Derivatives” (2016)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Volatility linkages between energy and agricultural commodity prices (2015)Dynamics of volatility spillover in commodity markets: Linking crude oil to agriculture (2019)Time-frequency causality and connectedness between international prices of energy, food, industry, agriculture and metals (2019)Generalized autoregressive conditional heteroskedasticity (1986)NONPARAMETRIC ADDITIVE MODELS FOR PANELS OF TIME SERIES (2009)A semiparametric stochastic volatility model (2011)Aircraft Multidisciplinary Design Optimization Under Both Model and Design Variables Uncertainty (2013)Empirical exchange rate models of the seventies (1983)ARCH modeling in finance (1992)Nonparametric modeling of carbon prices (2011)Hedonic Prices and Implicit Markets: Product Differentiation in Pure Competition (1974)Spatial autocorrelation and neighborhood quality (1992)A Generalized Spatial Two-Stage Least Squares Procedure for Estimating a Spatial Autoregressive Model with Autoregressive Disturbances (1998)On the Use of Spline Smoothing in Estimating Hedonic Housing Price Models: Empirical Evidence Using Hong Kong Data (2004)Additive Hedonic Regression Models with Spatial Scaling Factors: An Application for Rents in Vienna (2009)Hedonic versus repeat-sales housing price indexes for measuring the recent boom-bust cycle (2010)Econometric Analysis of Cross Section and Panel Data (2001)Nonlinear Dynamic Structures (1993)Multifractality in Asset Returns: Theory and Evidence (2002)Term Structure of Interest Rates with Regime Shifts (2002)
this work references cited by second hop

References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1991Semiparametric ARCH Models482 cited

Cited by

  • 2011Volatility spillovers between food and energy markets: A semiparametric approach219 cited
  • 2005Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing Methods1141 cited
  • 2005A Selective Overview of Nonparametric Methods in Financial Econometrics135 cited
  • 2003The Dynamics of Implied Volatilities: A Common Principal Components Approach125 cited
  • 1999Nonparametric Autoregression with Multiplicative Volatility and Additive mean112 cited
  • 1998Nonparametric vector autoregression111 cited
  • 2004A Semiparametric Method for Estimating Local House Price Indices108 cited
  • 2012Price volatility in food markets: can stock building mitigate price fluctuations?93 cited
  • 2016NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY68 cited
  • 2002NONPARAMETRIC ESTIMATION OF VOLATILITY FUNCTIONS: THE LOCAL EXPONENTIAL ESTIMATOR64 cited
  • 2010Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model59 cited
  • 2002ESTIMATION IN AN ADDITIVE MODEL WHEN THE COMPONENTS ARE LINKED PARAMETRICALLY

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58 cited
  • 2004Nonparametric estimation of structural change points in volatility models for time series52 cited
  • 2004THE LIVE METHOD FOR GENERALIZED ADDITIVE VOLATILITY MODELS49 cited
  • 2001L1 geometric ergodicity of a multivariate nonlinear AR model with an ARCH term44 cited
  • 2011Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications42 cited