ESTIMATION OF A SEMIPARAMETRIC IGARCH(1,1) MODEL

DOI10.1017/S0266466610000435zbMath1218.62093OpenAlexW3121374051MaRDI QIDQ3021624

Woo Cheol Kim, Oliver B. Linton

Publication date: 26 July 2011

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

Full work available at URL: https://doi.org/10.1017/s0266466610000435

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Related Items

Semi- and nonparametric ARCH processes, SPLINE ESTIMATION OF A SEMIPARAMETRIC GARCH MODEL, Mean-variance cointegration and the expectations hypothesis

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