Spline estimation of a semiparametric GARCH model

DOI10.1017/S0266466615000055zbMATH Open1442.62751WikidataQ61865740 ScholiaQ61865740MaRDI QIDQ2826010FDOQ2826010

Authors: L. Yang, Rong Liu 

Publication date: 14 October 2016

Published in: Econometric Theory (Search for Journal in Brave)

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Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Parameter estimation in nonlinear AR-GARCH models
• A practical guide to splines.
• Additive regression and other nonparametric models
• Nonlinear time series. Nonparametric and parametric methods
• Efficient estimation of a multivariate multiplicative volatility model
• Model selection for (auto-)regression with dependent data
• Augmented GARCH\((p,q)\) process and its diffusion limit
• Local asymptotics for polynomial spline regression
• Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
• A semiparametric GARCH model for foreign exchange volatility
• Semiparametric efficient adaptive estimation of asymmetric GARCH models
• Least absolute deviations estimation for ARCH and GARCH models
• MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
• Spline-backfitted kernel smoothing of nonlinear additive autoregression model
• Identification of Non-Linear Additive Autoregressive Models
• ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS
• Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing Methods1
• Temporal aggregation of multivariate GARCH processes
• Variance estimation in nonparametric regression via the difference sequence method
• Bandwidth selection for a class of difference-based variance estimators in the nonparametric regression: a possible approach
• QML estimation of a class of multivariate asymmetric GARCH models
• Negative volatility spillovers in the unrestricted ECCC-GARCH model
• RANK-BASED ESTIMATION FOR GARCH PROCESSES
• Estimation of a semiparametric IGARCH(1,1) model
• Semiparametric and Nonparametric ARCH Modeling
• Aggregation of the random coefficient GLARCH(1,1) process
• Nonparametric estimation of volatility models with serially dependent innovations

Cited In (10)

• Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing Methods1
• Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models
• Nonparametric volatility prediction
• Two-step estimation for time varying ARCH models
• Modeling time-varying unconditional variance by means of a free-knot spline-GARCH model
• ADAPTIVE AND MONOTONE SPLINE ESTIMATION OF THE CROSS-SECTIONAL TERM STRUCTURE
• Splines for financial volatility
• Bayesian modelling of time-varying conditional heteroscedasticity
• Multi-step-ahead prediction interval for locally stationary time series with application to air pollutant concentration data
• Estimation and inference in factor copula models with exogenous covariates

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