IDEAS home Printed from https://ideas.repec.org/p/zbw/sfb373/199661.html
   My bibliography  Save this paper

Nonparametric Vector Autoregression

Author

Listed:
  • Härdle, Wolfgang
  • Tsybakov, A.
  • Yang, L.

Abstract

No abstract is available for this item.

Suggested Citation

  • Härdle, Wolfgang & Tsybakov, A. & Yang, L., 1996. "Nonparametric Vector Autoregression," SFB 373 Discussion Papers 1996,61, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    • Handle: RePEc:zbw:sfb373:199661
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Lijian Yang & Wolfgang Hardle & Jens Nielsen, 1999. "Nonparametric Autoregression with Multiplicative Volatility and Additive mean," Journal of Time Series Analysis, Wiley Blackwell, vol. 20(5), pages 579-604, September.
    2. Tschernig, Rolf & Yang, Lijian, 2000. "Nonparametric estimation of generalized impulse response function," SFB 373 Discussion Papers 2000,89, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    3. Linton, Oliver & Mammen, Enno, 2003. "Estimating semiparametric ARCH (8) models by kernel smoothing methods," LSE Research Online Documents on Economics 2187, London School of Economics and Political Science, LSE Library.
    4. Mohamed Chikhi & Claude Diebolt, 2010. "Nonparametric analysis of financial time series by the Kernel methodology," Quality & Quantity: International Journal of Methodology, Springer, vol. 44(5), pages 865-880, August.
    5. Rolf Tschernig & Lijian Yang, 2000. "Nonparametric Lag Selection for Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 21(4), pages 457-487, July.
    6. Chauvet, Marcelle & Tierney, Heather L. R., 2007. "Real Time Changes in Monetary Policy," MPRA Paper 16199, University Library of Munich, Germany, revised Apr 2009.
    7. Feng, Yuanhua, 2006. "A local dynamic conditional correlation model," MPRA Paper 1592, University Library of Munich, Germany.
    8. Christian Hafner, 2005. "Durations, volume and the prediction of financial returns in transaction time," Quantitative Finance, Taylor & Francis Journals, vol. 5(2), pages 145-152.
    9. Kim, Woocheol & Linton, Oliver, 2003. "A local instrumental variable estimation method for generalized additive volatility models," LSE Research Online Documents on Economics 2028, London School of Economics and Political Science, LSE Library.
    10. Yuanhua Feng, 2013. "Double-conditional smoothing of high-frequency volatility surface in a spatial multiplicative component GARCH with random effects," Working Papers CIE 65, Paderborn University, CIE Center for International Economics.
    11. Yang, Lijian, 2006. "A semiparametric GARCH model for foreign exchange volatility," Journal of Econometrics, Elsevier, vol. 130(2), pages 365-384, February.
    12. Yuanhua Feng & David Hand & Yuanhua Feng, 2012. "A Multivariate Random Walk Model with Slowly Changing Drift and Cross-correlation Applied to Finance," Working Papers CIE 50, Paderborn University, CIE Center for International Economics.
    13. Feng, Yuanhua & Yu, Keming, 2006. "Nonparametric estimation of time-varying covariance matrix in a slowly changing vector random walk model," MPRA Paper 1597, University Library of Munich, Germany.
    14. Jing Wang & Lijian Yang, 2009. "Efficient and fast spline-backfitted kernel smoothing of additive models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 61(3), pages 663-690, September.
    15. Juan Vilar Fernández & Mario Francisco Fernández, 2002. "Local polynomial regression smoothers with AR-error structure," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 11(2), pages 439-464, December.
    16. Carroll, Raymond J. & Härdle, Wolfgang & Mammen, Enno, 1999. "Estimation in an additive model when the components are linked parametrically," SFB 373 Discussion Papers 1999,1, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    17. A. Pérez-González & J. Vilar-Fernández & W. González-Manteiga, 2009. "Asymptotic properties of local polynomial regression with missing data and correlated errors," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 61(1), pages 85-109, March.
    18. Harvill, Jane L. & Ray, Bonnie K., 2006. "Functional coefficient autoregressive models for vector time series," Computational Statistics & Data Analysis, Elsevier, vol. 50(12), pages 3547-3566, August.
    19. Mario Francisco-Fernandez & Juan Vilar-Fernandez, 2004. "Weighted Local Nonparametric Regression with Dependent Errors: Study of Real Private Residential Fixed Investment in the USA," Statistical Inference for Stochastic Processes, Springer, vol. 7(1), pages 69-93, March.
    20. Christian M. Hafner & Dick van Dijk & Philip Hans Franses, 2006. "Semi-Parametric Modelling of Correlation Dynamics," Advances in Econometrics, in: Econometric Analysis of Financial and Economic Time Series, pages 59-103, Emerald Group Publishing Limited.
    21. De Gooijer, Jan G. & Ray, Bonnie K., 2003. "Modeling vector nonlinear time series using POLYMARS," Computational Statistics & Data Analysis, Elsevier, vol. 42(1-2), pages 73-90, February.
    22. Yang, Lijian & Tschernig, Rolf, 1997. "Multivariate plug-in bandwidth for local linear regression," SFB 373 Discussion Papers 1997,99, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:sfb373:199661. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ZBW - Leibniz Information Centre for Economics (email available below). General contact details of provider: https://edirc.repec.org/data/sfhubde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.