Bootstrapping nonparametric estimators of the volatility function

Journal of Econometrics

Volumn 118, Issue 1-2, 2004, Pages 189-218

  Franke, Jürgen ^a   Neumann, Michael H ^b   Stockis, Jean Pierre ^a  

^a Rheinland Pfälzische Technische Universität Kaiserslautern Landau   (Germany)

^b UNIVERSITY OF COLOGNE   (Germany)

Author keywords

ARCH process; Bootstrap; Confidence band; Nonparametric estimates; Volatility

Indexed keywords

DISCRETE TIME CONTROL SYSTEMS; ESTIMATION; FINANCE; FUNCTIONS; MATHEMATICAL MODELS; POLYNOMIALS; REGRESSION ANALYSIS; TIME SERIES ANALYSIS;

BOOTSTRAPPING; FOREIGN EXCHANGE;

FINANCIAL DATA PROCESSING;

EID: 0347985229     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(03)00140-4     Document Type: Article

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