Audrino, Francesco; Bühlmann, Peter - In: Journal of the Royal Statistical Society Series B 71 (2009) 3, pp. 655-670
We propose a flexible generalized auto-regressive conditional heteroscedasticity type of model for the prediction of volatility in financial time series. The approach relies on the idea of using multivariate "B"-splines of lagged observations and volatilities. Estimation of such a "B"-spline...