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Fast computation and bandwidth selection algorithms for smoothing functional time series

Schäfer, Bastian; Feng, Yuanhua - 2021

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Semiparametric GARCH via Bayesian model averaging

Chen, Wilson Ye; Gerlach, Richard H. - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 2, pp. 437-452

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Efficient estimation of financial risk by regressing the quantiles of parametric distributions : an application to CARR models

Chan, Jennifer So Kuen; Kok Haur Ng; Thanakorn … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 2, pp. 1-22

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Quantile-based smooth transition value at risk estimation

Hubner, Stefan; Čížek, Pavel - In: The econometrics journal 22 (2019) 3, pp. 241-261

Persistent link: https://www.econbiz.de/10012166749

Nonparametric autoregression with multiplicative volatility and additive mean

Yang, Lijian; Härdle, Wolfgang; Nielsen, Jens Perch - 1998

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Data-driven jump detection thresholds for application in jump regressions

Davies, Robert; Tauchen, George Eugene - 2015

This paper develops a method to select the threshold in threshold-based jump detection methods. The method is motivated by an analysis of threshold-based jump detection methods in the context of jump-diffusion models. We show that over the range of sampling frequencies a researcher is most...

Persistent link: https://www.econbiz.de/10011524214