Locally time homogeneous time series modelling
| dc.bibliographicCitation.seriesTitle | WIAS Preprints | eng |
| dc.bibliographicCitation.volume | 1379 | |
| dc.contributor.author | Elagin, Mstislav | |
| dc.contributor.author | Spokoiny, Vladimir | |
| dc.date.accessioned | 2016-03-24T17:38:26Z | |
| dc.date.available | 2019-06-28T08:03:38Z | |
| dc.date.issued | 2008 | |
| dc.description.abstract | In this paper three locally adaptive estimation methods are applied to the problems of variance forecasting, value-at-risk analysis and volatility estimation within the context of nonstationary financial time series. A general procedure for the computation of critical values is given. Numerical results exhibit a very reasonable performance of the methods. | eng |
| dc.description.version | publishedVersion | eng |
| dc.format | application/pdf | |
| dc.identifier.issn | 0946-8633 | |
| dc.identifier.uri | https://doi.org/10.34657/2633 | |
| dc.identifier.uri | https://oa.tib.eu/renate/handle/123456789/2069 | |
| dc.language.iso | eng | eng |
| dc.publisher | Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik | eng |
| dc.relation.issn | 0946-8633 | eng |
| dc.rights.license | This document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties. | eng |
| dc.rights.license | Dieses Dokument darf im Rahmen von § 53 UrhG zum eigenen Gebrauch kostenfrei heruntergeladen, gelesen, gespeichert und ausgedruckt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden. | ger |
| dc.subject.ddc | 510 | eng |
| dc.subject.other | Adaptive estimation | eng |
| dc.subject.other | Local homogeneity | eng |
| dc.subject.other | Model selection | eng |
| dc.subject.other | Stagewise aggregation | eng |
| dc.subject.other | Volatility model | eng |
| dc.subject.other | Poisson model | eng |
| dc.subject.other | Exponential model | eng |
| dc.subject.other | Bernoulli model | eng |
| dc.subject.other | Propagation | eng |
| dc.subject.other | Oracle. | eng |
| dc.title | Locally time homogeneous time series modelling | eng |
| dc.type | Report | eng |
| dc.type | Text | eng |
| tib.accessRights | openAccess | eng |
| wgl.contributor | WIAS | eng |
| wgl.subject | Mathematik | eng |
| wgl.type | Report / Forschungsbericht / Arbeitspapier | eng |
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