Since their introduction Kernel Methods have proven their superior performance in many different application areas. Recently these algorithms have also been employed for different tasks in the area of finance. In this contribution we present an introduction to the methodology and give an...

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...