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Nonparametric modelling of financial time series

Heid, Frank - 1998

Persistent link: https://www.econbiz.de/10000668367

Nonparametric modeling in financial time series

Franke, Jürgen; Kreiß, Jens-Peter; Mammen, Enno - In: Handbook of financial time series, (pp. 927-952). 2009

Persistent link: https://www.econbiz.de/10003834268

Common persistence in conditional variance : a reconsideration

Li, Chang-shuai - In: Economic modelling 29 (2012) 5, pp. 1809-1819

Persistent link: https://www.econbiz.de/10009667096

The dynamic relationship between stock, bond and foreign exchange markets

Kal, Süleyman Hilmi; Arslaner, Ferhat; Arslaner, Nuran - In: Economic systems 39 (2015) 4, pp. 592-607

Persistent link: https://www.econbiz.de/10011532457

Nonparametric estimation and inference for conditional density based Granger causality measures

Taamouti, Abderrahim; Bouezmarni, Taoufik; El Ghouch, Anouar - In: Journal of econometrics 180 (2014) 2, pp. 251-264

Persistent link: https://www.econbiz.de/10010433362

Parameter estimation and forecasting for multiplicative lognormal cascades

Leövey, Andrés E.; Lux, Thomas - 2011

We study the well-known multiplicative Lognormal cascade process in which the multiplication of Gaussian and Lognormally distributed random variables yields time series with intermittent bursts of activity. Due to the non-stationarity of this process and the combinatorial nature of such a...