Statistical inference for nonparametric GARCH models
DOI10.1016/J.SPA.2016.03.010zbMATH Open1347.62199OpenAlexW2337384049MaRDI QIDQ311986FDOQ311986
Authors: Alexander Meister, Jens-Peter Kreiß 
Publication date: 13 September 2016
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2016.03.010
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nonparametric regressionautoregressionfinancial time seriesminimax ratesinference for stochastic processes
Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cited In (10)
- Efficient nonparametric estimation and inference for the volatility function
- ESTIMATION IN AN ADDITIVE MODEL WHEN THE COMPONENTS ARE LINKED PARAMETRICALLY
- Consistency of a nonparametric least squares estimator in integer-valued GARCH models
- Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models
- Convergence of heuristic-based estimators of the GARCH model
- An algorithm for nonparametric GARCH modelling.
- Cointegration models with non Gaussian GARCH innovations
- Root-\(T\) consistent density estimation in GARCH models
- Title not available (Why is that?)
- Statistical inference for non-stationary GARCH(\(p\),\(q\)) models
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