This paper offers a new approach for estimation and forecasting of the volatility of financial time series. No …. -- stochastic volatility model ; adaptive estimation ; local homogeneity …

regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence … as univariate function estimation. For the test statistic, asymptotic normal theory is established. These theoretical …We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate …

techniques, regression splines and kernel estimation, of which both can be used in the presence of measurement error. Within the … ; Measurement Error ; Local Polynomial Regression ; SIMEX ; Asymptotic theory ; Estimating Equations ; Nonlinear Regression … ; Bandwidth Selection ; Regression Splines ; Sandwich Estimation …

performances of the methods compared. -- Bootstrap ; Measurement Error ; Errors-in-Variables ; Asymptotic theory ; Estimating …

dealing with more than one lag. When the mean has an additive structure, however, better estimation methods are available … estimation of the conditional mean, it is equally if not more important to measure the future risk of the series along with the … interpretation of each lagged value's influence on such a function. In this paper we consider the joint estimation of both the …

theory but rather base the decision of the lag structure on a robust Lagrange Multiplier test. In contrast to U.S. data we …

, and the Deutschmark-US dollar. The estimation results for both models show: (i) that the unrestricted model outperforms …