A time varying GARCH(p,q) model and related statistical inference

DOI10.1016/J.SPL.2013.04.030MaRDI QIDQ2637362zbMATH OpenOpenAlexFDO

Authors Neelabh Rohan

Publication date 11 February 2014

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2013.04.030

zbMATH Keywords

local polynomial estimationtime varying GARCHvolatility modelingweighted bootstrap

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Nonparametric estimation (62G05) Nonparametric statistical resampling methods (62G09) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A time varying \(\mathrm{GARCH}(p,q)\) model and related statistical inference
• Asymmetric volatility models with structural breaks
• Bootstrapping a weighted linear estimator of the ARCH parameters
• Detecting for smooth structural changes in GARCH models
• Detecting parameter shift in garch models
• ESTIMATING THE ARCH PARAMETERS BY SOLVING LINEAR EQUATIONS
• Exchangeably weighted bootstraps of the general empirical process
• Extreme Value Theory for GARCH Processes
• Generalized autoregressive conditional heteroscedasticity
• Generalized bootstrap for estimating equations
• scientific article; zbMATH DE number 597913 (Why is no real title available?)
• scientific article; zbMATH DE number 1865388 (Why is no real title available?)
• Nonparametric estimation of a time-varying GARCH model
• Normalized least-squares estimation in time-varying ARCH models
• Simultaneous confidence bands and hypothesis testing in varying-coefficient models
• Statistical inference for time-varying ARCH processes
• Varying Coefficient GARCH Models

Cited in

(15)

• Linear time-varying regression with copula-DCC-GARCH models for volatility
• Testing for parameter constancy in GARCH(p,q) models
• The time-varying GARCH-in-mean model
• Statistical inference for non-stationary GARCH(p,q) models
• Simultaneous inference for time-varying models
• Contrast estimation of time-varying infinite memory processes
• A time varying \(\mathrm{GARCH}(p,q)\) model and related statistical inference
• Nonstationary autoregressive conditional duration models
• Parameter Stability and Semiparametric Inference in Time Varying Auto-Regressive Conditional Heteroscedasticity Models
• A new GJR‐GARCH model for ℤ‐valued time series
• Estimation and prediction of time-varying GARCH models through a state-space representation: a computational approach
• Nonparametric estimation of a time-varying GARCH model
• Specification and testing of multiplicative time-varying GARCH models with applications
• Bayesian modelling of time-varying conditional heteroscedasticity
• Inference for a multiplicative volatility model allowing for structural breaks

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