Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models

DOI10.1111/j.1368-423X.2009.00292.xzbMath1231.91484arXiv0903.4620OpenAlexW2082961455MaRDI QIDQ3161675

Pavel Čížek, Vladimir Spokoiny, Wolfgang Karl Härdle

Publication date: 15 October 2010

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

Full work available at URL: https://arxiv.org/abs/0903.4620

zbMATH Keywords

autoregressive modelsadaptive pointwise estimationconditional hetero-scedasticity modelslocal time-homogeneity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (6)

MODELING NONSTATIONARY AND LEPTOKURTIC FINANCIAL TIME SERIES ⋮ TESTING FOR STRUCTURAL CHANGE IN TIME-VARYING NONPARAMETRIC REGRESSION MODELS ⋮ Statistical inference for nonparametric GARCH models ⋮ Managing risk with a realized copula parameter ⋮ SONIC: social network analysis with influencers and communities ⋮ Multiscale local change point detection with applications to value-at-risk

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