Volatility estimation in a nonlinear heteroscedastic functional regression model with martingale difference errors (Q1733275)

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Volatility estimation in a nonlinear heteroscedastic functional regression model with martingale difference errors

scientific article; zbMATH DE number 7040012

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English	Volatility estimation in a nonlinear heteroscedastic functional regression model with martingale difference errors	scientific article; zbMATH DE number 7040012

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instance of

scholarly article

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title

Volatility estimation in a nonlinear heteroscedastic functional regression model with martingale difference errors (English)

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author

Mohamed Chaouch

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published in

Journal of Multivariate Analysis

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publication date

21 March 2019

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zbMATH Keywords

asymptotic normality

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conditional variance

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empirical likelihood

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ergodic processes

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functional data

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martingale difference

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uniform consistency

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describes a project that uses

fda (R)

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.jmva.2018.11.008

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cites work

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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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NONPARAMETRIC ESTIMATION OF VOLATILITY FUNCTIONS: THE LOCAL EXPONENTIAL ESTIMATOR

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Identifiers

zbMATH Open document ID

1409.60042

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Mathematics Subject Classification ID

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10.1016/J.JMVA.2018.11.008

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Sitelinks

Mathematics(1 entry)

mardi Volatility estimation in a nonlinear heteroscedastic functional regression model with martingale difference errors