Nonparametric estimators of GARCH processes.

MaRDI QIDQ4545041zbMATH OpenFDO

Authors Jürgen Franke, Harriet Holzberger, Marlene Müller, Jürgen Franke

Publication date 13 August 2002

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited in

(1)

• Estimation of nonlinear autoregressive models using design-adapted wavelets

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