Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing Methods1
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Publication:5393899
DOI10.1111/j.1468-0262.2005.00596.xzbMath1153.91798MaRDI 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 problem; kernel estimation; ARCH; semiparametric estimation; nonparametric regression; volatility; profile likelihood; news impact curve
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M09: Non-Markovian processes: estimation
91B84: Economic time series analysis
45A05: Linear integral equations
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