Developing nonparametric conditional heteroscedastic autoregressive nonlinear model by using maximum likelihood method

MaRDI QIDQ3173749zbMATH OpenFDO

Authors Autcha Araveeporn

Publication date 10 October 2011

zbMATH Keywords

heteroscedasticityautoregressivepenalized splinevolatility

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08)

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Cited in

(1)

• A note on non-parametric testing for Gaussian innovations in AR-ARCH models

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