Statistical inference for time-inhomogeneous volatility models
Work
Year: 2004
Type: article
Abstract: This paper offers a new approach for estimating and forecasting the volatility of financial time series. No assumption is made about the parametric form of the processes. On the contrary, we only supp... more
Source: The Annals of Statistics
Authors Danilo Mercurio, Vladimir Spokoiny
Institutions Humboldt-Universität zu Berlin, Weierstrass Institute for Applied Analysis and Stochastics
Cites: 31
Cited by: 138
Related to: 10
FWCI: 8.525
Citation percentile (by year/subfield): 96.21
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Decent work and economic growth
Open Access status: bronze