Functional-coefficient regression models with GARCH errors

DOI10.1002/CJS.11599MaRDI QIDQ5094258zbMATH OpenOpenAlexFDO

Authors Yu-ze Yuan, Lihua Bai, Jiancheng Jiang

Publication date 2 August 2022

Published in The Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/cjs.11599

zbMATH Keywords

QMLElocal linear smoothingfunctional coefficientsGARCH errors

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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(5)

• Adaptive estimation of heteroskedastic functional-coefficient regressions with an application to fiscal policy evaluation on asset markets
• Bayesian analysis of the functional-coefficient autoregressive heteroscedastic model
• A functional coefficient GARCH-M model
• Volatility asymmetry in functional threshold GARCH model
• GARCH density and functional forecasts

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