Root-\(T\) consistent density estimation in GARCH models (Q5964750)

scientific article; zbMATH DE number 6547754

Language	Label	Description	Also known as
English	Root-\(T\) consistent density estimation in GARCH models	scientific article; zbMATH DE number 6547754

Statements

instance of

scholarly article

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title

Root-\(T\) consistent density estimation in GARCH models (English)

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author

Aurore Delaigle

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Alexander Meister

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Jeroen V. K. Rombouts

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published in

Journal of Econometrics

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publication date

1 March 2016

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zbMATH Keywords

autoregression

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consistency

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convergence rates

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financial econometrics

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nonparametric statistics

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time series

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describes a project that uses

KernSmooth

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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.jeconom.2015.10.009

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cites work

Nonparametric Pricing of Interest Rate Derivative Securities

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GARCH processes: structure and estimation

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Generalized autoregressive conditional heteroscedasticity

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Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

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Stationarity of GARCH processes and of some nonnegative time series

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Optimal Rates of Convergence for Deconvolving a Density

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Bootstrap with larger resample size for root-\(n\) consistent density estimation with time series data

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Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions

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ADAPTIVE DENSITY ESTIMATION FOR GENERAL ARCH MODELS

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Nonparametric density estimation from data with a mixture of Berkson and classical errors

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Q3077990

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Q4272817

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Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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Nonlinear time series. Nonparametric and parametric methods

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Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE

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Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes

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Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models

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Inference in Arch and Garch Models with Heavy-Tailed Errors

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Properties of moments of a family of GARCH processes

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The second moment and the autocovariance function of the squared errors of the GARCH model

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PARAMETRIC SPECIFICATION TEST FOR NONLINEAR AUTOREGRESSIVE MODELS

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Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes

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Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models

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A NECESSARY AND SUFFICIENT CONDITION FOR THE STRICT STATIONARITY OF A FAMILY OF GARCH PROCESSES

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Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.

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Convergence in distribution for the sup-norm of a kernel density estimator for GARCH inno\-va\-tions

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Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models

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Uniformly root-\(n\) consistent density estimators for weakly dependent invertible linear proc\-esses

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Deconvolving kernel density estimators

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Nonparametric volatility density estimation for discrete time models

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Q4865051

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Identifiers

zbMATH Open document ID

1419.62225

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DOI

10.1016/j.jeconom.2015.10.009

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5964750