Choosing between persistent and stationary volatility (Q2112824)

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Choosing between persistent and stationary volatility
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    title
    Choosing between persistent and stationary volatility (English)
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    DOI
    10.1214/22-AOS2236
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    author
    Ilias Chronopoulos
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    Liudas Giraitis
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    George Kapetanios
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    publication date
    12 January 2023
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    Mathematics Subject Classification ID
    62M10
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    62G08
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    62G05
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    62F05
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    zbMATH DE Number
    7641133
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    zbMATH Keywords
    ARCH effect
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    persistence
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    volatility
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    time-varying coefficient models
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    nonparametric estimation
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