Local polynomial estimators of the volatility function in nonparametric autoregression

DOI10.1016/S0304-4076(97)00044-4zbMath0904.62047MaRDI QIDQ1372929

Alexandre B. Tsybakov, Wolfgang Karl Härdle

Publication date: 27 January 1999

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

asymptotic normalityrates of convergencenonlinear time serieslocal polynomialsnonlinear autoregression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Uses Software

• XploRe

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