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

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

Aurore Delaigle, Alexander Meister, 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 rates; consistency; time series; autoregression; financial econometrics; nonparametric statistics

Mathematics Subject Classification ID

62G07: Density estimation

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

62G20: Asymptotic properties of nonparametric inference

62P05: Applications of statistics to actuarial sciences and financial mathematics

Uses Software

• KernSmooth