In this paper, a local 𝑀-estimation for the conditional variance function in heteroscedastic regression models under stationary α-mixing dependent samples is developed. The local 𝑀-estimator is ...

Journal of the Royal Statistical Society. Series B (Statistical Methodology), Vol. 80, No. 5 (2018), pp. 975-993 (19 pages) Estimating conditional quantiles of financial time series is essential for ...

The exponentially weighted moving average (EWMA) estimator is widely used to forecast the conditional volatility of short-horizon asset returns. The EWMA estimator is appropriate when returns are ...

There are several approaches to dealing with heteroscedasticity. If the error variance at different times is known, weighted regression is a good method. If, as is ...

Abstract: A radar detection scheme based on a GARCH clutter model has been proposed recently. This adaptive detector depends on the conditional variance of the GARCH ...

This issue of the Journal of Risk contains four long papers dealing with market risk management. The first paper, “Risk estimation using the normal inverse Gaussian distribution”, by P. J. de Jongh ...

In addition, you can consider the model with disturbances following an autoregressive process and with the GARCH errors. The AR(m)-GARCH(p,q) regression model is denoted Nelson and Cao (1992) proposed ...

ABSTRACT: This study investigated the performance of eleven competing time series GARCH models for fitting the rate of returns data, monthly observations on the index returns series of the market over ...