Volatility estimation in a nonlinear heteroscedastic functional regression model with martingale difference errors.
Mohamed ChaouchPublished in: J. Multivar. Anal. (2019)
Keyphrases
- regression model
- linear model
- generalized linear models
- generalized linear
- semi parametric
- nonlinear models
- model selection
- regression methods
- support vector regression
- regression analysis
- linear regression model
- multivariate regression
- kernel regression
- survival analysis
- logistic regression models
- estimation error
- autoregressive conditional heteroscedasticity
- gaussian process
- prediction model
- independent variables
- stock price
- parameter estimation
- prediction intervals
- regression trees
- locally weighted
- explanatory variables
- prediction error
- stock market
- image sequences
- data mining
- linear discriminant analysis
- residual errors
- interval valued data