SPLINE ESTIMATION OF A SEMIPARAMETRIC GARCH MODEL (Q2826010): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / cites work @@
+ESTIMATION OF A SEMIPARAMETRIC IGARCH(1,1) MODEL
@@ Property / cites work: ESTIMATION OF A SEMIPARAMETRIC IGARCH(1,1) MODEL / rank @@
+Normal rank
@@ Property / cites work @@
+Semiparametric and Nonparametric ARCH Modeling
@@ Property / cites work: Semiparametric and Nonparametric ARCH Modeling / rank @@
+Normal rank
@@ Property / cites work @@
+Local asymptotics for polynomial spline regression
+Normal rank
@@ Property / cites work @@
+Efficient estimation of a multivariate multiplicative volatility model
+Normal rank
@@ Property / cites work @@
+Temporal aggregation of multivariate GARCH processes
+Normal rank
@@ Property / cites work @@
+AGGREGATION OF THE RANDOM COEFFICIENT GLARCH(1,1) PROCESS
+Normal rank
@@ Property / cites work @@
+QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS
+Normal rank
@@ Property / cites work @@
+Nonlinear time series. Nonparametric and parametric methods
+Normal rank
@@ Property / cites work @@
+Augmented GARCH\((p,q)\) process and its diffusion limit
+Normal rank
@@ Property / cites work @@
+A practical guide to splines.
@@ Property / cites work: A practical guide to splines. / rank @@
+Normal rank
@@ Property / cites work @@
+Nonparametric estimation of volatility models with serially dependent innovations
+Normal rank
@@ Property / cites work @@
+A semiparametric GARCH model for foreign exchange volatility
+Normal rank
@@ Property / cites work @@
+NEGATIVE VOLATILITY SPILLOVERS IN THE UNRESTRICTED ECCC-GARCH MODEL
+Normal rank
@@ Property / cites work @@
+Spline-backfitted kernel smoothing of nonlinear additive autoregression model
+Normal rank
@@ Property / cites work @@
+Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
+Normal rank
@@ Property / cites work @@
+MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC  VOLATILITY MODELS
+Normal rank
@@ Property / cites work @@
+Variance estimation in nonparametric regression via the difference sequence method
+Normal rank
@@ Property / cites work @@
+Semiparametric efficient adaptive estimation of asymmetric GARCH models
+Normal rank
@@ Property / cites work @@
+Bandwidth selection for a class of difference-based variance estimators in the nonparametric regression: a possible approach
+Normal rank
@@ Property / cites work @@
+Additive regression and other nonparametric models
+Normal rank
@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+Least absolute deviations estimation for ARCH and GARCH models
+Normal rank
@@ Property / cites work @@
+Model selection for (auto-)regression with dependent data
+Normal rank
@@ Property / cites work @@
+RANK-BASED ESTIMATION FOR GARCH PROCESSES
@@ Property / cites work: RANK-BASED ESTIMATION FOR GARCH PROCESSES / rank @@
+Normal rank
@@ Property / cites work @@
+PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS
+Normal rank
@@ Property / cites work @@
+ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS
+Normal rank
@@ Property / cites work @@
+Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing Methods1
+Normal rank
@@ Property / cites work @@
+Identification of Non-Linear Additive Autoregressive Models
+Normal rank
@@ Property / Wikidata QID @@
+Q61865740
@@ Property / Wikidata QID: Q61865740 / rank @@
+Normal rank