Nonparametric model research on price fluctuation of financial assets
- DOI
- 10.2991/icessms-16.2017.85How to use a DOI?
- Keywords
- Financial assets; volatility; price fluctuation; nonparametric model
- Abstract
From the perspective of non-parametric wave model, we focus on the nonparametric model and its application research. From nonparametric regression model, nonparametric autoregressive model, nonparametric VAR model family, nonparametric panel time series model. The above model estimation methods the development of nonparametric time series analysis is reviewed. This paper focuses on the nonparametric estimation techniques of nonlinear models, that is, the functional coefficient model, the nonparametric GARCH model family, and the predictions, tests and generalized impulse response functions. Finally, the characteristics of non-parametric time series analysis and the future development trend are pointed out. In this paper, the basic economic statistical theory and econometric methods will be adopted to study the development and application of nonparametric time series analysis. The author tries to use the relevant economic statistics theory to explain the real economic problems, and uses relevant econometric methods to describe. Verify economic theory on the interpretation of real problems, and then for the relevant departments of policy-making and risk early warning to provide a useful reference.
- Copyright
- © 2017, the Authors. Published by Atlantis Press.
- Open Access
- This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).
Cite this article
TY - CONF AU - BaiLing Xu PY - 2017/02 DA - 2017/02 TI - Nonparametric model research on price fluctuation of financial assets BT - Proceedings of the 2016 2nd International Conference on Education, Social Science, Management and Sports (ICESSMS 2016) PB - Atlantis Press SP - 408 EP - 412 SN - 2352-5398 UR - https://doi.org/10.2991/icessms-16.2017.85 DO - 10.2991/icessms-16.2017.85 ID - Xu2017/02 ER -