Nonlinear and Nonparametric Methods for Analyzing Financial Time Series
- We consider nonparametric generalization of various well-known financial time series models and study estimates of the trend and volatility functions and forecasts based on kernel smoothers as well as on neural networks.
Author: | Jürgen Franke |
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URN: | urn:nbn:de:hbz:386-kluedo-9353 |
Series (Serial Number): | Report in Wirtschaftsmathematik (WIMA Report) (44) |
Document Type: | Preprint |
Language of publication: | English |
Year of Completion: | 1999 |
Year of first Publication: | 1999 |
Publishing Institution: | Technische Universität Kaiserslautern |
Date of the Publication (Server): | 2000/02/18 |
Faculties / Organisational entities: | Kaiserslautern - Fachbereich Mathematik |
DDC-Cassification: | 5 Naturwissenschaften und Mathematik / 510 Mathematik |
Licence (German): | Standard gemäß KLUEDO-Leitlinien vor dem 27.05.2011 |