Varying Coefficient GARCH Models

DOI10.1007/978-3-540-71297-8_7zbMath1178.91157OpenAlexW2150807234MaRDI QIDQ3646953

Pavel Čížek, Vladimir Spokoiny

Publication date: 27 November 2009

Published in: Handbook of Financial Time Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-71297-8_7

zbMATH Keywords

nonparametric estimationconditional heteroscedasticitysmooth transition modelglobal parametric modellocally adaptive volatility

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84)

Related Items (4)

Semi-parametric estimation and forecasting for exogenous log-GARCH models ⋮ Nonparametric estimation of a time-varying GARCH model ⋮ A time varying \(\mathrm{GARCH}(p,q)\) model and related statistical inference ⋮ Strong consistency and asymptotic normality of least squares estimators for PGARCH and PARMA-PGARCH models

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