Adaptive likelihood estimator of conditional variance function

DOI10.1080/10485252.2015.1122189zbMATH Open1338.62072OpenAlexW2280183281MaRDI QIDQ2811272FDOQ2811272

Authors: Panagiotis Avramidis 

Publication date: 10 June 2016

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10485252.2015.1122189

Recommendations

• Efficient estimation of conditional variance functions in stochastic regression
• Adaptive nonparametric regression with conditional heteroskedasticity
• Adaptive quasi-maximum likelihood estimation of GARCH models with Student's \(t\) likelihood
• Likelihood-Based Local Linear Estimation of the Conditional Variance Function
• Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models

zbMATH Keywords

kernel smoothinglikelihood functionadaptive estimatenonparametric conditional variance

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Title not available (Why is that?)
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Efficient estimation of conditional variance functions in stochastic regression
• Consistent nonparametric regression. Discussion
• Locally parametric nonparametric density estimation
• Local linear regression smoothers and their minimax efficiencies
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA
• Multivariate locally weighted least squares regression
• Local Maximum Likelihood Estimation and Inference
• Likelihood-Based Local Linear Estimation of the Conditional Variance Function
• Nonparametric statistics for stochastic processes. Estimation and prediction.
• Local polynomial estimators of the volatility function in nonparametric autoregression
• Nonparametric estimation of structural change points in volatility models for time series
• Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality
• Local Polynomial Estimation of Regression Functions for Mixing Processes
• Conditional variance estimation in heteroscedastic regression models
• Semiparametric estimation of Value at Risk
• Relative Efficiencies of Kernel and Local Likelihood Density Estimators
• NONPARAMETRIC ESTIMATION OF VOLATILITY FUNCTIONS: THE LOCAL EXPONENTIAL ESTIMATOR
• A nonparametric regression estimator that adapts to error distribution of unknown form
• Unstable volatility: the break-preserving local linear estimator

Cited In (4)

• Title not available (Why is that?)
• Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity
• Semi- and nonparametric ARCH processes
• Adaptive quasi-maximum likelihood estimation of GARCH models with Student's \(t\) likelihood

This page was built for publication: Adaptive likelihood estimator of conditional variance function

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2811272)