On nonparametric estimation of a nonparametric autoregressive conditionally heteroscedastic process

DOI10.16929/AS/2022.3293.307MaRDI QIDQ6045963zbMATH OpenFDO

Authors Ben Célestin Kouassi, Ouagnina Hili, Edoh Katchekpele

Publication date 15 May 2023

Published in Afrika Statistika (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/journals/afrika-statistika/volume-17/issue-3/On-Nonparametric-Estimation-of-a-Nonparametric-Autoregressive-Conditionally-Heteroscedastic-Process/10.16929/as/2022.3293.307.full

zbMATH Keywords

\(\tau\)-mixingasymptotic normalityautoregression functionNadaraya-Watson estimatorvolatility

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) 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)

Cites work

• ARCH models and financial applications
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Efficient estimation of conditional variance functions in stochastic regression
• Efficient nonparametric estimation and inference for the volatility function
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 3323637 (Why is no real title available?)
• Local polynomial estimators of the volatility function in nonparametric autoregression
• Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff
• NONPARAMETRIC ESTIMATION OF VOLATILITY FUNCTIONS: THE LOCAL EXPONENTIAL ESTIMATOR
• On the asymptotic behaviour of the recursive Nadaraya-Watson estimator associated with the recursive sliced inverse regression method
• UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA
• Weakly dependent chains with infinite memory

Cited in

(5)

• Consistent estimation for non-Gaussian non-causal autoregressive processes
• scientific article; zbMATH DE number 4155675 (Why is no real title available?)
• scientific article; zbMATH DE number 4041110 (Why is no real title available?)
• ESTIMATION FOR NONNEGATIVE AUTOREGRESSIVE PROCESSES WITH AN UNKNOWN LOCATION PARAMETER
• Semi-parametric estimation of the autoregressive parameter in non-Gaussian Ornstein–Uhlenbeck processes

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