{"id":"https://openalex.org/W4287637535","doi":"https://doi.org/10.1080/10485252.2025.2516492","title":"A data-driven P-spline smoother and the P-Spline-GARCH models","display_name":"A data-driven P-spline smoother and the P-Spline-GARCH models","publication_year":2025,"publication_date":"2025-06-24","ids":{"openalex":"https://openalex.org/W4287637535","doi":"https://doi.org/10.1080/10485252.2025.2516492"},"language":"en","primary_location":{"id":"doi:10.1080/10485252.2025.2516492","doi":"https://doi.org/10.1080/10485252.2025.2516492","is_oa":true,"landing_page_url":"https://doi.org/10.1080/10485252.2025.2516492","pdf_url":"https://www.tandfonline.com/doi/pdf/10.1080/10485252.2025.2516492","source":{"id":"https://openalex.org/S157569606","display_name":"Journal of nonparametric statistics","issn_l":"1026-7654","issn":["1026-7654","1029-0311","1048-5252"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-class-a","anvur-scientific","cwts-core","dongbi-d","jufo-1","norway-1","poland-70","russia-white-list-3","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":"cc-by-nc-nd","license_id":"https://openalex.org/licenses/cc-by-nc-nd","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Nonparametric Statistics","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://www.tandfonline.com/doi/pdf/10.1080/10485252.2025.2516492","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5102752842","display_name":"Yuanhua Feng","orcid":"https://orcid.org/0000-0001-8219-8054","observed_orcids":["https://orcid.org/0000-0001-8219-8054"]},"institutions":[{"id":"https://openalex.org/I206945453","display_name":"Paderborn University","ror":"https://ror.org/058kzsd48","country_code":"DE","type":"education","lineage":["https://openalex.org/I206945453"]}],"countries":["DE"],"is_corresponding":true,"raw_author_name":"Yuanhua Feng","raw_affiliation_strings":["Paderborn University"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Paderborn University","institution_ids":["https://openalex.org/I206945453"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5053742635","display_name":"Wolfgang Karl H\u00e4rdle","orcid":"https://orcid.org/0000-0001-5600-3014","observed_orcids":["https://orcid.org/0000-0001-5600-3014"]},"institutions":[{"id":"https://openalex.org/I148366613","display_name":"National Yang Ming Chiao Tung University","ror":"https://ror.org/00se2k293","country_code":"TW","type":"education","lineage":["https://openalex.org/I148366613"]},{"id":"https://openalex.org/I21250087","display_name":"Charles University","ror":"https://ror.org/024d6js02","country_code":"CZ","type":"education","lineage":["https://openalex.org/I21250087"]},{"id":"https://openalex.org/I39343248","display_name":"Humboldt-Universit\u00e4t zu Berlin","ror":"https://ror.org/01hcx6992","country_code":"DE","type":"education","lineage":["https://openalex.org/I39343248"]}],"countries":["CZ","DE","TW"],"is_corresponding":false,"raw_author_name":"Wolfgang Karl H\u00e4rdle","raw_affiliation_strings":["Blockchain Research Center Humboldt-Universit\u00e4t zu Berlin","Charles University","Humboldt-Universit\u00e4t zu Berlin","Institute Digital Assets, Academy of Economic Studies","National Yang Ming Chiao Tung University"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Blockchain Research Center Humboldt-Universit\u00e4t zu Berlin","institution_ids":["https://openalex.org/I39343248"]},{"raw_affiliation_string":"Charles University","institution_ids":["https://openalex.org/I21250087"]},{"raw_affiliation_string":"Humboldt-Universit\u00e4t zu Berlin","institution_ids":["https://openalex.org/I39343248"]},{"raw_affiliation_string":"Institute Digital Assets, Academy of Economic Studies","institution_ids":[]},{"raw_affiliation_string":"National Yang Ming Chiao Tung University","institution_ids":["https://openalex.org/I148366613"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5102752842"],"corresponding_institution_ids":["https://openalex.org/I206945453"],"apc_list":null,"apc_paid":null,"fwci":1.8963,"has_fulltext":true,"cited_by_count":2,"citation_normalized_percentile":{"value":0.83265045,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":96,"max":97},"biblio":{"volume":"38","issue":"2","first_page":"653","last_page":"674"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.6898999810218811,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.6898999810218811,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10136","display_name":"Statistical Methods and Inference","score":0.29170000553131104,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T11871","display_name":"Advanced Statistical Methods and Models","score":0.0031999999191612005,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/bandwidth-selection","display_name":"bandwidth selection","score":0.7310000061988831},{"id":"https://openalex.org/keywords/strong-mixing","display_name":"strong mixing","score":0.5619999766349792},{"id":"https://openalex.org/keywords/asymptotic-normality","display_name":"asymptotic normality","score":0.9240000247955322},{"id":"https://openalex.org/keywords/value-at-risk","display_name":"value at risk","score":0.7649999856948853},{"id":"https://openalex.org/keywords/conditional-value-at-risk","display_name":"conditional value at risk","score":0.9819999933242798},{"id":"https://openalex.org/keywords/time-series","display_name":"time series","score":0.5180000066757202}],"concepts":[{"id":"https://openalex.org/C107457265","wikidata":"https://www.wikidata.org/wiki/Q7546460","display_name":"Smoothing spline","level":4,"score":0.7674630284309387},{"id":"https://openalex.org/C10390562","wikidata":"https://www.wikidata.org/wiki/Q581809","display_name":"Spline (mechanical)","level":2,"score":0.6544275283813477},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.6264321804046631},{"id":"https://openalex.org/C3770464","wikidata":"https://www.wikidata.org/wiki/Q775963","display_name":"Smoothing","level":2,"score":0.5851282477378845},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.5240607261657715},{"id":"https://openalex.org/C65778772","wikidata":"https://www.wikidata.org/wiki/Q12345341","display_name":"Asymptotic distribution","level":3,"score":0.4748133420944214},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.4411354660987854},{"id":"https://openalex.org/C78297888","wikidata":"https://www.wikidata.org/wiki/Q7449607","display_name":"Semiparametric model","level":3,"score":0.43407541513442993},{"id":"https://openalex.org/C117251300","wikidata":"https://www.wikidata.org/wiki/Q1849855","display_name":"Parametric statistics","level":2,"score":0.4277746081352234},{"id":"https://openalex.org/C2779343474","wikidata":"https://www.wikidata.org/wiki/Q3109175","display_name":"Context (archaeology)","level":2,"score":0.4188492000102997},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.38696593046188354},{"id":"https://openalex.org/C185429906","wikidata":"https://www.wikidata.org/wiki/Q1130160","display_name":"Estimator","level":2,"score":0.3534375727176666},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.2277679443359375},{"id":"https://openalex.org/C31447003","wikidata":"https://www.wikidata.org/wiki/Q545002","display_name":"Spline interpolation","level":3,"score":0.2039438784122467},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.13536250591278076},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.08772686123847961},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.0763990581035614},{"id":"https://openalex.org/C66938386","wikidata":"https://www.wikidata.org/wiki/Q633538","display_name":"Structural engineering","level":1,"score":0.0},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0},{"id":"https://openalex.org/C205203396","wikidata":"https://www.wikidata.org/wiki/Q612143","display_name":"Bilinear interpolation","level":2,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1080/10485252.2025.2516492","doi":"https://doi.org/10.1080/10485252.2025.2516492","is_oa":true,"landing_page_url":"https://doi.org/10.1080/10485252.2025.2516492","pdf_url":"https://www.tandfonline.com/doi/pdf/10.1080/10485252.2025.2516492","source":{"id":"https://openalex.org/S157569606","display_name":"Journal of nonparametric statistics","issn_l":"1026-7654","issn":["1026-7654","1029-0311","1048-5252"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-class-a","anvur-scientific","cwts-core","dongbi-d","jufo-1","norway-1","poland-70","russia-white-list-3","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":"cc-by-nc-nd","license_id":"https://openalex.org/licenses/cc-by-nc-nd","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Nonparametric Statistics","raw_type":"journal-article"}],"best_oa_location":{"id":"doi:10.1080/10485252.2025.2516492","doi":"https://doi.org/10.1080/10485252.2025.2516492","is_oa":true,"landing_page_url":"https://doi.org/10.1080/10485252.2025.2516492","pdf_url":"https://www.tandfonline.com/doi/pdf/10.1080/10485252.2025.2516492","source":{"id":"https://openalex.org/S157569606","display_name":"Journal of nonparametric statistics","issn_l":"1026-7654","issn":["1026-7654","1029-0311","1048-5252"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-class-a","anvur-scientific","cwts-core","dongbi-d","jufo-1","norway-1","poland-70","russia-white-list-3","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":"cc-by-nc-nd","license_id":"https://openalex.org/licenses/cc-by-nc-nd","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Nonparametric Statistics","raw_type":"journal-article"},"sustainable_development_goals":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[{"id":"https://openalex.org/G1507720041","display_name":null,"funder_award_id":"FE 1500/2-1","funder_id":"https://openalex.org/F4320320879","funder_display_name":"Deutsche Forschungsgemeinschaft"},{"id":"https://openalex.org/G6512977109","display_name":"R\u00e4umliche duallongmemory Prozesse \u2013 Definitionen, ein semistarkes r\u00e4umliches FARIMA und einige r\u00e4umliche longmemory Volatilit\u00e4tsprozesse als individuelle oder St\u00f6rungsmodelle","funder_award_id":"530686798","funder_id":"https://openalex.org/F4320320879","funder_display_name":"Deutsche Forschungsgemeinschaft"},{"id":"https://openalex.org/G732930293","display_name":null,"funder_award_id":"IRTG 1792","funder_id":"https://openalex.org/F4320320879","funder_display_name":"Deutsche Forschungsgemeinschaft"}],"funders":[{"id":"https://openalex.org/F4320309928","display_name":"Aarhus Universitet","ror":"https://ror.org/01aj84f44"},{"id":"https://openalex.org/F4320310013","display_name":"North Carolina State University","ror":"https://ror.org/04tj63d06"},{"id":"https://openalex.org/F4320320879","display_name":"Deutsche Forschungsgemeinschaft","ror":"https://ror.org/018mejw64"},{"id":"https://openalex.org/F4320321691","display_name":"Universit\u00e4t Wien","ror":"https://ror.org/03prydq77"},{"id":"https://openalex.org/F4320324816","display_name":"Universit\u00e4t Paderborn","ror":"https://ror.org/058kzsd48"}],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W4287637535.pdf","grobid_xml":"https://content.openalex.org/works/W4287637535.grobid-xml"},"referenced_works_count":38,"referenced_works":["https://openalex.org/W1423766661","https://openalex.org/W1581447768","https://openalex.org/W1639275303","https://openalex.org/W1969248194","https://openalex.org/W1975673843","https://openalex.org/W1978708431","https://openalex.org/W1979575715","https://openalex.org/W1988300874","https://openalex.org/W1990420052","https://openalex.org/W1992766233","https://openalex.org/W1994060226","https://openalex.org/W1999814123","https://openalex.org/W1999996900","https://openalex.org/W2005424182","https://openalex.org/W2012071978","https://openalex.org/W2027106381","https://openalex.org/W2036354922","https://openalex.org/W2038845890","https://openalex.org/W2052431278","https://openalex.org/W2055864349","https://openalex.org/W2056075622","https://openalex.org/W2059122256","https://openalex.org/W2060705818","https://openalex.org/W2063507361","https://openalex.org/W2067291796","https://openalex.org/W2072075941","https://openalex.org/W2076490314","https://openalex.org/W2088322978","https://openalex.org/W2100976425","https://openalex.org/W2129003284","https://openalex.org/W2140054106","https://openalex.org/W2166362129","https://openalex.org/W2727751329","https://openalex.org/W2802961447","https://openalex.org/W2922048356","https://openalex.org/W2924252637","https://openalex.org/W3122535831","https://openalex.org/W3126027153"],"related_works":["https://openalex.org/W1981039615","https://openalex.org/W1690623585","https://openalex.org/W2499055041","https://openalex.org/W2462869830","https://openalex.org/W4243970242","https://openalex.org/W1991430094","https://openalex.org/W1949299996","https://openalex.org/W3123557714","https://openalex.org/W2964021668","https://openalex.org/W2375026377"],"abstract_inverted_index":{"Penalized":[0],"spline":[1],"smoothing":[2,32,46],"of":[3,29,56,68,80,99,104,115],"time":[4],"series":[5],"with":[6,96,128],"a":[7,62,65,72,121],"truncated":[8],"polynomial":[9],"basis":[10],"are":[11,21],"studied.":[12],"Some":[13],"existing":[14],"asymptotic":[15],"results":[16],"obtained":[17,35],"under":[18],"i.i.d.":[19],"errors":[20],"adjusted":[22],"to":[23,130],"the":[24,30,45,69,78,81,89,105,116],"current":[25],"context.":[26],"An":[27,39],"approximation":[28],"optimal":[31],"parameter":[33,47],"is":[34,48,59,74,85,92,111,118],"and":[36,123,134],"justified":[37],"theoretically.":[38],"iterative":[40],"plug-in":[41],"algorithm":[42,58],"for":[43],"selecting":[44],"developed":[49],"based":[50,76],"on":[51,77],"this":[52,57,109],"result.":[53],"Practical":[54,113],"relevance":[55,114],"confirmed":[60,119],"by":[61,120,125],"simulation.":[63],"Subsequently,":[64],"penalized":[66],"extension":[67],"Spline-GARCH,":[70],"called":[71],"P-Spline-GARCH,":[73],"defined":[75],"log-transformation":[79],"squared":[82],"returns.":[83],"It":[84],"shown":[86],"that":[87],"now":[88],"error":[90],"process":[91],"exponentially":[93],"strong":[94],"mixing":[95],"finite":[97],"moments":[98],"all":[100],"orders.":[101],"Asymptotic":[102],"normality":[103],"P-Spline":[106],"smoother":[107],"in":[108],"context":[110],"proved.":[112],"P-Spline-GARCH":[117],"simulation":[122],"illustrated":[124],"data":[126],"examples":[127],"application":[129],"value":[131],"at":[132],"risk":[133],"expected":[135],"shortfall.":[136]},"counts_by_year":[{"year":2026,"cited_by_count":2}],"updated_date":"2026-10-12T09:40:04.860316","created_date":"2025-10-10T00:00:00"}