Adaptive likelihood estimator of conditional variance function (Q2811272): Difference between revisions

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+Generalized autoregressive conditional heteroscedasticity
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+Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
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+Nonparametric statistics for stochastic processes. Estimation and prediction.
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+Unstable volatility: the break-preserving local linear estimator
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+Nonparametric estimation of structural change points in volatility models for time series
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+Conditional variance estimation in heteroscedastic regression models
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+Local linear regression smoothers and their minimax efficiencies
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+Local Maximum Likelihood Estimation and Inference
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+Q3125064
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+Semiparametric estimation of Value at Risk
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+Efficient estimation of conditional variance functions in stochastic regression
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+Relative Efficiencies of Kernel and Local Likelihood Density Estimators
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+UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA
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+Local polynomial estimators of the volatility function in nonparametric autoregression
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+Locally parametric nonparametric density estimation
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+A NONPARAMETRIC REGRESSION ESTIMATOR THAT ADAPTS TO ERROR DISTRIBUTION OF UNKNOWN FORM
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+Local Polynomial Estimation of Regression Functions for Mixing Processes
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+Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality
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+Conditional Heteroskedasticity in Asset Returns: A New Approach
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+Multivariate locally weighted least squares regression
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+Consistent nonparametric regression. Discussion
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+Likelihood-Based Local Linear Estimation of the Conditional Variance Function
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+NONPARAMETRIC ESTIMATION OF VOLATILITY FUNCTIONS: THE LOCAL  EXPONENTIAL ESTIMATOR
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