Semi- and nonparametric ARCH processes
From MaRDI portal
Publication:609736
DOI10.1155/2011/906212zbMath1200.91305OpenAlexW2058948793WikidataQ58692083 ScholiaQ58692083MaRDI QIDQ609736
Publication date: 1 December 2010
Published in: Journal of Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/229524
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Cites Work
- Unnamed Item
- Estimation of copula-based semiparametric time series models
- A semiparametric GARCH model for foreign exchange volatility
- Semiparametric efficient adaptive estimation of asymmetric GARCH models
- Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
- Regime switching for dynamic correlations
- Efficient estimation of a multivariate multiplicative volatility model
- Asset pricing for general processes
- Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
- Efficient estimation of copula-based semiparametric Markov models
- Additive regression and other nonparametric models
- Optimal rates of convergence for nonparametric estimators
- Stationarity of GARCH processes and of some nonnegative time series
- Nonparametric statistics for stochastic processes. Estimation and prediction.
- Nonparametric vector autoregression
- Fitting time series models to nonstationary processes
- Efficient estimation in semiparametric GARCH models
- Local polynomial estimators of the volatility function in nonparametric autoregression
- Bootstrapping nonparametric estimators of the volatility function.
- Weak convergence of empirical copula processes
- Generalized autoregressive conditional heteroscedasticity
- Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
- Stationarity and the existence of moments of a family of GARCH processes.
- Modeling and pricing long memory in stock market volatility
- Stability of random coefficient ARCH models and aggregation schemes
- On the existence of some ARCH\((\infty)\)processes
- Statistical inference for time-varying ARCH processes
- Tree-structured Generalized Autoregressive Conditional Heteroscedastic Models
- Adaptive likelihood estimator of conditional variance function
- Least absolute deviations estimation for ARCH and GARCH models
- SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS
- ESTIMATION OF A SEMIPARAMETRIC IGARCH(1,1) MODEL
- Temporal Aggregation of Garch Processes
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality
- Semi-Parametric Modelling of Correlation Dynamics
- Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes
- ARCH(∞) Models and Long Memory Properties
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
- Efficient estimation of conditional variance functions in stochastic regression
- Nonparametric Identification of Nonlinear Time Series: Projections
- Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
- An Intertemporal Capital Asset Pricing Model
- The Econometrics of Ultra-high-frequency Data
- WHITTLE ESTIMATION OF ARCH MODELS
- ON STATIONARITY IN THE ARCH(∞) MODEL
- A kernel method of estimating structured nonparametric regression based on marginal integration
- Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
- Nonparametric Autoregression with Multiplicative Volatility and Additive mean
- STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM
- ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS
- Copulas and Temporal Dependence
- THE LIVE METHOD FOR GENERALIZED ADDITIVE VOLATILITY MODELS
- ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
- Portfolio Analysis in a Stable Paretian Market
- Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing Methods1
- Nonparametric estimation of copula functions for dependence modelling
- Inference in Arch and Garch Models with Heavy-Tailed Errors
- Efficient Estimation of Semiparametric Multivariate Copula Models
