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Adaptive estimation for a time inhomogeneous stochastic-volatility model

Härdle, Wolfgang; Spokojnyj, Vladimir G.; Teyssière, … - 2000

Persistent link: https://www.econbiz.de/10001470372

Asymptotic properties of the nonparametric part in partial linear heteroscedastic regression models

Liang, Hua; Härdle, Wolfgang; Werwatz, Axel - 1997

Persistent link: https://www.econbiz.de/10009659060

Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models

Čížek, Pavel; Härdle, Wolfgang; Spokojnyj, Vladimir G. - In: The econometrics journal 12 (2009) 2, pp. 248-271

Persistent link: https://www.econbiz.de/10003875660

Adaptive estimation for a time inhomogeneous stochastic-volatility model

Härdle, Wolfgang; Spokojnyj, Vladimir G.; Teyssière, … - 2000

Let a process SI , ... ,ST obey the conditionally heteroskedastic equation St = Vt Et whcrc Et is a random noise and Vt is the volatility coefficient which in turn obeys an autoregression type equation log v t = w + a S t- l + nt with an additional noise nt. We consider the situation which the...

Persistent link: https://www.econbiz.de/10009582392