Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing Methods1
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Publication:5393899
DOI10.1111/j.1468-0262.2005.00596.xzbMath1153.91798OpenAlexW1993447437MaRDI QIDQ5393899
Publication date: 24 October 2006
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1468-0262.2005.00596.x
inverse problemkernel estimationARCHsemiparametric estimationnonparametric regressionvolatilityprofile likelihoodnews impact curve
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Economic time series analysis (91B84) Linear integral equations (45A05)
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