THE LIVE METHOD FOR GENERALIZED ADDITIVE VOLATILITY MODELS

DOI10.1017/S026646660420603XzbMATH Open1069.62084OpenAlexW2115067055MaRDI QIDQ5314883FDOQ5314883

Authors: Woo Cheol Kim, Oliver Linton 

Publication date: 5 September 2005

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

Full work available at URL: https://doi.org/10.1017/s026646660420603x

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zbMATH Keywords

GANARCHoracle standards

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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• NONPARAMETRIC ESTIMATION OF ADDITIVE NONLINEAR ARX TIME SERIES: LOCAL LINEAR FITTING AND PROJECTIONS
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• EFFICIENT ESTIMATION OF GENERALIZED ADDITIVE NONPARAMETRIC REGRESSION MODELS
• Nonparametric Identification of Nonlinear Time Series: Projections
• An Analysis of Transformations for Additive Nonparametric Regression

Cited In (6)

• Local instrumental variable method for the generalized additive-interactive nonlinear volatility model estimation
• Title not available (Why is that?)
• Nonparametric volatility prediction
• Semi- and nonparametric ARCH processes
• An improved generalized spectral test for conditional mean models in time series with conditional heteroskedasticity of unknown form
• Semiparametric estimation of volatility: some models and complexity choice in the adaptive functional-coefficient class

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