Choosing between persistent and stationary volatility
From MaRDI portal
Publication:2112824
DOI10.1214/22-AOS2236MaRDI QIDQ2112824
Liudas Giraitis, George Kapetanios, Ilias Chronopoulos
Publication date: 12 January 2023
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/journals/annals-of-statistics/volume-50/issue-6/Choosing-between-persistent-and-stationary-volatility/10.1214/22-AOS2236.full
62G08: Nonparametric regression and quantile regression
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G05: Nonparametric estimation
62F05: Asymptotic properties of parametric tests