Root-\(T\) consistent density estimation in GARCH models

DOI10.1016/j.jeconom.2015.10.009zbMath1419.62225OpenAlexW2184981040MaRDI QIDQ5964750

Alexander Meister, Aurore Delaigle, Jeroen V. K. Rombouts

Publication date: 1 March 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.10.009

zbMATH Keywords

convergence ratesconsistencytime seriesautoregressionfinancial econometricsnonparametric statistics

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (1)

Root-\(n\) consistent estimation of the marginal density in semiparametric autoregressive time series models

Uses Software

• KernSmooth

Cites Work

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