Let's get LADE: robust estimation of semiparametric multiplicative volatility models

DOI10.1017/S0266466614000516zbMATH Open1441.62781OpenAlexW3122349307MaRDI QIDQ3450342FDOQ3450342

Authors: Bonsoo Koo, Oliver Linton 

Publication date: 3 November 2015

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

Full work available at URL: https://doi.org/10.1017/s0266466614000516

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Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric robustness (62G35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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Cited In (3)

• Indirect inference for locally stationary models
• Dynamic Autoregressive Liquidity (DArLiQ)
• Estimation of a nonparametric model for bond prices from cross-section and time series information

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