Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models

DOI10.1111/j.1368-423X.2009.00292.xzbMath1231.91484arXiv0903.4620MaRDI QIDQ3161675

Pavel Čížek, Vladimir Spokoiny, Wolfgang Karl Härdle

Publication date: 15 October 2010

Published in: Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0903.4620

zbMATH Keywords

autoregressive models; adaptive pointwise estimation; conditional hetero-scedasticity models; local time-homogeneity

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

Related Items

Statistical inference for nonparametric GARCH models, Multiscale local change point detection with applications to value-at-risk, Managing risk with a realized copula parameter, MODELING NONSTATIONARY AND LEPTOKURTIC FINANCIAL TIME SERIES, TESTING FOR STRUCTURAL CHANGE IN TIME-VARYING NONPARAMETRIC REGRESSION MODELS

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