Parameter Stability and Semiparametric Inference in Time Varying Auto-Regressive Conditional Heteroscedasticity Models

DOI10.1111/RSSB.12221MaRDI QIDQ4603790zbMATH OpenOpenAlexFDO

Authors Lionel Truquet

Publication date 19 February 2018

Published in Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1506.02984

zbMATH Keywords

kernel smoothinglocally stationary time seriessemiparametric inferenceauto-regressive conditional heteroscedasticity processes

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(15)

• Local stationarity and time-inhomogeneous Markov chains
• Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model
• Contrast estimation of time-varying infinite memory processes
• Locally Stationary Multiplicative Volatility Modeling
• Estimation, Inference, and Empirical Analysis for Time-Varying VAR Models
• Stability conditions for heteroscedastic factor models with conditionally autoregressive betas
• Nonparametric regression for locally stationary functional time series
• Two-step estimation for time varying ARCH models
• On Eagleson's theorem in the non-stationary setup
• Parameter stability and semiparametric inference in time-varying ARCH models
• Time-varying credibility for frequency risk models: estimation and tests for autoregressive specifications on the random effects.
• Efficient semiparametric estimation in time-varying regression models
• A perturbation analysis of Markov chains models with time-varying parameters
• Nonparametric regression for locally stationary random fields under stochastic sampling design
• Time-varying multivariate causal processes

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