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Non-parametric and Flexible Time Series Estimators

  • Jürgen Franke
  • Wolfgang Karl Härdle
  • Christian Matthias Hafner
Chapter
Part of the Universitext book series (UTX)

Abstract

With the analysis of (financial) time series, one of the most important goals is to produce forecasts. Using past data one can argue about the future mean, the future volatility, and so on, however a flexible method of producing such estimates will be introduced in this chapter.

Keywords

Option Price Risk Premium Conditional Variance Stochastic Volatility Implied Volatility 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2015

Authors and Affiliations

  • Jürgen Franke
    • 1
  • Wolfgang Karl Härdle
    • 2
    • 3
  • Christian Matthias Hafner
    • 4
  1. 1.FB MathematikTU KaiserslauternKaiserslauternGermany
  2. 2.Ladislaus von Bortkiewicz Chair of Statistics C.A.S.E. Centre for Applied Statistics and Economics School of Business and EconomicsHumboldt-Universität zu BerlinBerlinGermany
  3. 3.Sim Kee Boon Institute for Financial EconomicsSingapore Management UniversitySingaporeSingapore
  4. 4.Inst. StatistiqueUniversité Catholique de LouvainLeuven-la-NeuveBelgium

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