Locally Stationary Multiplicative Volatility Modeling

DOI10.1080/07350015.2022.2036612MaRDI QIDQ6149862zbMATH OpenOpenAlexFDO

Authors Christopher Walsh, Michael Vogt

Publication date 5 March 2024

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2022.2036612

zbMATH Keywords

GARCHlocal stationaritymultiplicative volatilitysemiparametricsmooth backfitting

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• Econometric analysis of volatility component models
• Efficient estimation of a multivariate multiplicative volatility model
• Estimating nonlinear additive models with nonstationarities and correlated errors
• Fitting time series models to nonstationary processes
• scientific article; zbMATH DE number 490141 (Why is no real title available?)
• scientific article; zbMATH DE number 1944323 (Why is no real title available?)
• Normalized least-squares estimation in time-varying ARCH models
• On the Kullback-Leibler information divergence of locally stationary processes
• Parameter Stability and Semiparametric Inference in Time Varying Auto-Regressive Conditional Heteroscedasticity Models
• SIMULTANEOUSLY MODELING CONDITIONAL HETEROSKEDASTICITY AND SCALE CHANGE
• Statistical inference for time-varying ARCH processes
• The existence and asymptotic properties of a backfitting projection algorithm under weak conditions
• Variable selection in nonparametric additive models

Cited in

(1)

• Modeling nonstationary time series using locally stationary basis processes

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