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The present paper studies the non-parametric estimation of volatility in financial time series. Support Vector Regression (SVR) is applied and compared with alternative techniques for estimating a Conditional Heteroskedastic AutoRegressive Nonlinear (CHARN) model. A multiscale decomposition...
Persistent link: https://www.econbiz.de/10005495795
The most suitable paradigms and tools for investigating the scaling structure of financial time series are reviewed and … discussed in the light of some recent empirical results. Different types of scaling are distinguished and several definitions of … scaling exponents, scaling and multi-scaling processes are given. Methods to estimate such exponents from empirical financial …
Persistent link: https://www.econbiz.de/10005279148