On nonparametric estimation of a nonparametric autoregressive conditionally heteroscedastic process

DOI10.16929/AS/2022.3293.307zbMATH Open1510.62363MaRDI QIDQ6045963FDOQ6045963

Ouagnina Hili, Ben Célestin Kouassi, Edoh Katchekpele

Publication date: 15 May 2023

Published in: Afrika Statistika (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/journals/afrika-statistika/volume-17/issue-3/On-Nonparametric-Estimation-of-a-Nonparametric-Autoregressive-Conditionally-Heteroscedastic-Process/10.16929/as/2022.3293.307.full

zbMATH Keywords

asymptotic normalityNadaraya-Watson estimatorvolatility\(\tau\)-mixingautoregression function

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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• Generalized autoregressive conditional heteroscedasticity
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• Efficient estimation of conditional variance functions in stochastic regression
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• Local polynomial estimators of the volatility function in nonparametric autoregression
• Weakly dependent chains with infinite memory
• NONPARAMETRIC ESTIMATION OF VOLATILITY FUNCTIONS: THE LOCAL EXPONENTIAL ESTIMATOR
• Efficient nonparametric estimation and inference for the volatility function
• Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff
• On the asymptotic behaviour of the recursive Nadaraya–Watson estimator associated with the recursive sliced inverse regression method

Cited In (5)

• Semi-parametric estimation of the autoregressive parameter in non-Gaussian Ornstein–Uhlenbeck processes
• ESTIMATION FOR NONNEGATIVE AUTOREGRESSIVE PROCESSES WITH AN UNKNOWN LOCATION PARAMETER
• Title not available (Why is that?)
• Title not available (Why is that?)
• Consistent estimation for non-Gaussian non-causal autoregressive processes

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