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Modelling Different Volatility Components

Feng, Yuanhua - 2002

This paper considers simultaneous modelling of seasonality, slowly changing un- conditional variance and conditional heteroskedasticity in high-frequency fiancial returns. A new approach, called a seasonal SEMIGARCH model, is proposed to perform this by introducing multiplicative seasonal and...

Persistent link: https://www.econbiz.de/10010323932

Optimal Convergence Rates in Nonparametric Regression with Fractional Time Series Errors

Feng, Yuanhua - 2002

Persistent link: https://www.econbiz.de/10010324049

Iterative plug-in algorithms for SEMIFAR models - definition, convergence and asymptotic properties

Beran, Jan; Feng, Yuanhua - 2001

In this paper data-driven algorithms for fitting SEMIFAR models (Beran, 1999) are proposed. The algorithms combine the data-driven estimation of the nonparamet- ric trend and maximum likelihood estimation of the parameters. Convergence and asymptotic properties of the proposed algorithms are...

Persistent link: https://www.econbiz.de/10010324077

Variable data driven bandwidth choice in nonparametric quantile regression

Abberger, Klaus - 2002

The choice of a smoothing parameter or bandwidth is crucial when applying non- parametric regression estimators. In nonparametric mean regression various meth- ods for bandwidth selection exists. But in nonparametric quantile regression band- width choice is still an unsolved problem. In this...

Persistent link: https://www.econbiz.de/10010324080

Recent Developments in Non- and Semiparametric Regression with Fractional Time Series Errors

Beran, Jan; Feng, Yuanhua - 2002

This paper summarizes recent developments in non- and semiparametric regres- sion with stationary fractional time series errors, where the error process may be short-range, long-range dependent or antipersistent. The trend function in this model is estimated nonparametrically, while the...

Persistent link: https://www.econbiz.de/10010324094

Kernel Dependent Functions in Nonparametric Regression with Fractional Time Series Errors

Feng, Yuanhua - 2003

fractional time series errors. We focus on investigating the properties of a kernel dependent function V (delta) in the … (delta) for polynomial kernels is given together with a few examples. It is also found, e.g. that the Uniform kernel is no … longer the minimum variance one by strongly antipersistent errors and that, for a fourth order kernel, V (delta) at some …

Persistent link: https://www.econbiz.de/10010263412

Conditionally parametric fits for CAPM betas

Abberger, Klaus - 2004

The CAPM model assumes stock returns to be a linear function of the market return. However, there is considerable evidence that the beta stability assumption commonly used when estimating the model is invalid. Nonparametric regression methods are used to examine the stability of beta...

Persistent link: https://www.econbiz.de/10010263422

Optimal convergence rates in nonparametric regression with fractional time series errors

Feng, Yuanhua; Beran, Jan - 2007

Persistent link: https://www.econbiz.de/10010266927

Optimal Convergence Rates in Nonparametric Regression with Fractional Time Series Errors

Feng, Yuanhua - Zentrum für Finanzen und Ökonometrie, Fachbereich … - 2002

Persistent link: https://www.econbiz.de/10005357901

Kernel Dependent Functions in Nonparametric Regression with Fractional Time Series Errors kernel dependent function, bandwidth selection.

Feng, Yuanhua - Zentrum für Finanzen und Ökonometrie, Fachbereich … - 2003

Persistent link: https://www.econbiz.de/10005146725