Time inhomogeneous multiple volatility modelling
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Other versions of this item:
- Wolfgang Hardle & Helmut Herwartz & Vladimir Spokoiny, 2003. "Time Inhomogeneous Multiple Volatility Modeling," Journal of Financial Econometrics, Oxford University Press, vol. 1(1), pages 55-95.
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Cited by:
- Fengler, Matthias R. & Okhrin, Ostap, 2016. "Managing risk with a realized copula parameter," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 131-152.
- Oliver Blaskowitz & Helmut Herwartz, 2009.
"Adaptive forecasting of the EURIBOR swap term structure,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(7), pages 575-594.
- Oliver Blaskowitz & Helmut Herwatz, 2008. "Adaptive Forecasting of the EURIBOR Swap Term Structure," SFB 649 Discussion Papers SFB649DP2008-017, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Mazur Błażej & Pipień Mateusz, 2018. "Time-varying asymmetry and tail thickness in long series of daily financial returns," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(5), pages 1-21, December.
- Herwartz, Helmut & Golosnoy, Vasyl, 2007. "Semiparametric Approaches to the Prediction of Conditional Correlation Matrices in Finance," Economics Working Papers 2007-23, Christian-Albrechts-University of Kiel, Department of Economics.
- Oliver Blaskowitz & Helmut Herwartz & Gonzalo de Cadenas Santiago, 2005.
"Modeling the FIBOR/EURIBOR Swap Term Structure: An Empirical Approach,"
SFB 649 Discussion Papers
SFB649DP2005-024, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Blaskowitz, Oliver J. & Herwartz, Helmut & de Cadenas Santiago, Gonzalo, 2005. "Modeling the FIBOR/EURIBOR Swap Term Structure: An Empirical Approach," Economics Working Papers 2005-04, Christian-Albrechts-University of Kiel, Department of Economics.
- C. Stéphan & S. Skander, 2003. "Statistical analysis of financial time series under the assuption of local stationarity," THEMA Working Papers 2003-23, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Bruno Spilak & Wolfgang Karl Härdle, 2022.
"Tail-Risk Protection: Machine Learning Meets Modern Econometrics,"
Springer Books, in: Cheng-Few Lee & Alice C. Lee (ed.), Encyclopedia of Finance, edition 0, chapter 92, pages 2177-2211,
Springer.
- Spilak, Bruno & Härdle, Wolfgang Karl, 2020. "Tail-risk protection: Machine Learning meets modern Econometrics," IRTG 1792 Discussion Papers 2020-015, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Cizek, P. & Haerdle, W. & Spokoiny, V., 2007.
"Adaptive Pointwise Estimation in Time-Inhomogeneous Time-Series Models,"
Other publications TiSEM
a797e4a8-12cf-4ac5-9fae-b, Tilburg University, School of Economics and Management.
- Pavel Cizek & Wolfgang Härdle & Vladimir Spokoiny, 2008. "Adaptive pointwise estimation in time-inhomogeneous time-series models," SFB 649 Discussion Papers SFB649DP2008-002, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Cizek, P. & Haerdle, W. & Spokoiny, V., 2007. "Adaptive Pointwise Estimation in Time-Inhomogeneous Time-Series Models," Discussion Paper 2007-35, Tilburg University, Center for Economic Research.
- Enzo Giacomini & Wolfgang Härdle, 2005. "Value-at-Risk Calculations with Time Varying Copulae," SFB 649 Discussion Papers SFB649DP2005-004, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Chaohua Dong & Jiti Gao, 2011. "Expansion of Brownian Motion Functionals and Its Application in Econometric Estimation," Monash Econometrics and Business Statistics Working Papers 19/11, Monash University, Department of Econometrics and Business Statistics.
- Bruno Spilak & Wolfgang Karl Hardle, 2020. "Tail-risk protection: Machine Learning meets modern Econometrics," Papers 2010.03315, arXiv.org, revised Aug 2021.
- Golosnoy, Vasyl & Ragulin, Sergiy & Schmid, Wolfgang, 2011. "CUSUM control charts for monitoring optimal portfolio weights," Computational Statistics & Data Analysis, Elsevier, vol. 55(11), pages 2991-3009, November.
- Cizek, P., 2010.
"Modelling Conditional Heteroscedasticity in Nonstationary Series,"
Discussion Paper
2010-84, Tilburg University, Center for Economic Research.
- Cizek, P., 2010. "Modelling Conditional Heteroscedasticity in Nonstationary Series," Other publications TiSEM a5a7b05f-5f1f-46ed-8ce8-5, Tilburg University, School of Economics and Management.
- Härdle, Wolfgang Karl & Chen, Ying & Schulz, Rainer, 2004. "Prognose mit nichtparametrischen Verfahren," Papers 2004,07, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
- Jianqing Fan & Yingying Fan & Jinchi Lv, 0. "Aggregation of Nonparametric Estimators for Volatility Matrix," Journal of Financial Econometrics, Oxford University Press, vol. 5(3), pages 321-357.
- Golosnoy, Vasyl & Schmid, Wolfgang & Seifert, Miriam Isabel & Lazariv, Taras, 2020. "Statistical inferences for realized portfolio weights," Econometrics and Statistics, Elsevier, vol. 14(C), pages 49-62.
- Błażej Mazur & Mateusz Pipień, 2012. "On the Empirical Importance of Periodicity in the Volatility of Financial Returns - Time Varying GARCH as a Second Order APC(2) Process," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 4(2), pages 95-116, June.
- VAN BELLEGEM, Sébastien, 2011. "Locally stationary volatility modelling," LIDAM Discussion Papers CORE 2011041, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Golosnoy, Vasyl & Okhrin, Yarema, 2009. "Flexible shrinkage in portfolio selection," Journal of Economic Dynamics and Control, Elsevier, vol. 33(2), pages 317-328, February.
- Chen, Ying & Härdle, Wolfgang & Spokoiny, Vladimir, 2010. "GHICA -- Risk analysis with GH distributions and independent components," Journal of Empirical Finance, Elsevier, vol. 17(2), pages 255-269, March.
More about this item
Keywords
stochastic volatility model; adaptive estimation; local homogeneity;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2001-09-10 (Econometrics)
- NEP-ETS-2001-09-10 (Econometric Time Series)
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