Semiparametric regression with a FARIMA-GARCH error process: theory and application

MaRDI QIDQ3173835FDOQ3173835

Juan C. Reboredo, Wenceslao González-Manteiga, Germán Aneiros

Publication date: 10 October 2011

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zbMATH Keywords

hypothesis testingtime seriesnonparametric statisticspartial linear regressionlong-memory processes

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cited In (3)

• Local polynomial estimation with a FARIMA-GARCH error process
• Estimation of SEM with GARCH errors
• Modelling financial time series with SEMIFAR GARCH model

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