In this article we propose a model in discrete and continuous time that incorporates explicitly a technical trading rule in the specification of the volatility. The proposed discrete-time model is an alternative to GARCH-type processes. We derive conditions for the covariance and strict...

We propose a new nonparametric density forecast based on time- and state‐domain smoothing. We analyze some of its asymptotic properties and provide an empirical illustration. Copyright (C) 2010 John Wiley & Sons, Ltd.