Local Estimation in AR Models with Nonparametric ARCH Errors
From MaRDI portal
Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Recommendations
- scientific article; zbMATH DE number 1329170
- Local polynomial estimators of the volatility function in nonparametric autoregression
- Local Likelihood for non‐parametric ARCH(1) models
- Kernel estimates of the mean and the volatility functions in a nonlinear autoregressive model with ARCH errors
- Local linear estimation in the presence of nonparametric AR(1) errors
Cites work
- Asymptotic behaviour of the sample autocovariance and autocorrelation function of the \(AR(1)\) process with \(\text{ARCH}(1)\) errors
- Asymptotic distribution of robust estimators for nonparametric models from mixing processes
- Bootstrapping nonparametric estimators of the volatility function.
- Efficient estimation of conditional variance functions in stochastic regression
- Estimating high-frequency foreign exchange rate volatility with nonparametric ARCH models
- Estimation and Testing Stationarity for Double-Autoregressive Models
- Estimation in nonlinear time series models
- Extremal behavior of the autoregressive process with ARCH(1) errors
- High-derivative parametric enhancements of nonparametric curve estimators
- scientific article; zbMATH DE number 991833 (Why is no real title available?)
- Kernel estimates of the mean and the volatility functions in a nonlinear autoregressive model with ARCH errors
- Likelihood-Based Local Linear Estimation of the Conditional Variance Function
- Local Likelihood for non‐parametric ARCH(1) models
- Local polynomial estimators of the volatility function in nonparametric autoregression
- Local Polynomial Variance-Function Estimation
- Mixing: Properties and examples
- On adaptive estimation in nonstationary ARMA models with GARCH errors
- The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors
- Theory & Methods: On a Class of Nonlinear AR(P) Models with Nonlinear ARCH Errors
- Weighted least absolute deviations estimation for an AR(1) process with ARCH(1) errors
Cited in
(19)- Local linear regression for data with AR errors
- Local polynomial estimators of the volatility function in nonparametric autoregression
- Smoothed conditional scale function estimation in AR(1)-ARCH(1) processes
- Adaptive estimation of mean and volatility functions in (auto-)regressive models.
- On nonparametric estimation in nonlinear AR(1)-models
- Kernel estimates of the mean and the volatility functions in a nonlinear autoregressive model with ARCH errors
- Local instrumental variable method for the generalized additive-interactive nonlinear volatility model estimation
- Unstable volatility: the break-preserving local linear estimator
- Local linear estimation in the presence of nonparametric AR(1) errors
- scientific article; zbMATH DE number 4043108 (Why is no real title available?)
- scientific article; zbMATH DE number 1329170 (Why is no real title available?)
- Nonlinearity of ARCH and stochastic volatility models and Bartlett's formula
- THE LIVE METHOD FOR GENERALIZED ADDITIVE VOLATILITY MODELS
- Efficient nonparametric estimation and inference for the volatility function
- Local Likelihood for non‐parametric ARCH(1) models
- scientific article; zbMATH DE number 2219510 (Why is no real title available?)
- Estimation and testing for a Poisson autoregressive model
- Analysis of nonuniform DAR(1) processes with mismatched explanatory variables
- Nonparametric estimation of volatility models with serially dependent innovations
This page was built for publication: Local Estimation in AR Models with Nonparametric ARCH Errors
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3634559)
