ADAPTIVE DENSITY ESTIMATION FOR GENERAL ARCH MODELS

DOI10.1017/S026646660808064XzbMath1277.62103arXivmath/0609745MaRDI QIDQ3551012

Fabienne Comte, Marie-Luce Taupin, Jérôme Dedecker

Publication date: 8 April 2010

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

Full work available at URL: https://arxiv.org/abs/math/0609745

Mathematics Subject Classification ID

62G07: Density estimation

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

62M09: Non-Markovian processes: estimation

Related Items

Wavelet Estimation of a Density in a GARCH-type Model, Root-\(T\) consistent density estimation in GARCH models, Adaptive estimation of linear functionals in the convolution model and applications, Estimation of a multivariate stochastic volatility density by kernel deconvolution

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