Nonparametric Modeling in Financial Time Series

Jürgen Franke (), Jens-Peter Kreiss () and Enno Mammen ()
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Jürgen Franke: Universität Kaiserslautern, Department of Mathematics
Jens-Peter Kreiss: Technische Universität Braunschweig, Institut für Mathematische Stochastik
Enno Mammen: Universität Mannheim, Abteilung Volkswirtschaftslehre

Chapter 40 in Handbook of Financial Time Series, 2009, pp 927-952 from Springer

Abstract: Abstract In this chapter, we deal with nonparametric methods for discretely observed financial data. The main ideas of nonparametric kernel smoothing are explained in the rather simple situation of density estimation and regression. For financial data, a rather relevant topic is nonparametric estimation of a volatility function in a continuous-time model such as a homogeneous diffusion model. We review results on nonparametric estimation for discretely observed processes, sampled at high or at low frequency. We also discuss application of nonparametric methods to testing, especially model validation and goodness-of-fit testing. In risk measurement for financial time series, conditional quantiles play an important role and nonparametric methods have been successfully applied in this field too. At the end of the chapter we discuss Grenander’s sieve methods and other more recent advanced nonparametric approaches.

Keywords: Regression Quantile; Nonparametric Estimation; Stochastic Volatility; Nonparametric Regression; Nonparametric Estimator (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1007/978-3-540-71297-8_40

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