Efficient estimation of a multivariate multiplicative volatility model
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Publication:736688
DOI10.1016/J.JECONOM.2010.04.007zbMATH Open1431.62381OpenAlexW2100500993MaRDI QIDQ736688FDOQ736688
Authors: Christian M. Hafner, Oliver Linton 
Publication date: 4 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://sticerd.lse.ac.uk/dps/em/em541.pdf
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Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
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- Local instrumental variable method for the generalized additive-interactive nonlinear volatility model estimation
- Semiparametric multivariate GARCH models
- Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model
- Locally Stationary Multiplicative Volatility Modeling
- Forward detrending for heteroskedasticity-robust panel unit root testing
- ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELS
- Testing for parameter changes in linear state space models
- Forecasting correlations during the late-2000s financial crisis: the short-run component, the long-run component, and structural breaks
- Semiparametric model for covariance regression analysis
- A non‐parametric test for multi‐variate trend functions
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- Semiparametric multivariate volatility models
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- A coupled component DCS-EGARCH model for intraday and overnight volatility
- Adaptive estimation of vector autoregressive models with time-varying variance: application to testing linear causality in mean
- Semi- and nonparametric ARCH processes
- Non-parametric news impact curve: a variational approach
- The conditional autoregressive Wishart model for multivariate stock market volatility
- LET’S GET LADE: ROBUST ESTIMATION OF SEMIPARAMETRIC MULTIPLICATIVE VOLATILITY MODELS
- Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
- Dynamic Autoregressive Liquidity (DArLiQ)
- Testing and Modelling for the Structural Change in Covariance Matrix Time Series With Multiplicative Form
- Dynamic modeling of high-dimensional correlation matrices in finance
- Spline estimation of a semiparametric GARCH model
- Testing Second-Order Dynamics for Autoregressive Processes in Presence of Time-Varying Variance
- Estimation of a nonparametric model for bond prices from cross-section and time series information
- Incorporating overnight and intraday returns into multivariate GARCH volatility models
- Semiparametric estimation of volatility: some models and complexity choice in the adaptive functional-coefficient class
- Nonparametric regression for locally stationary random fields under stochastic sampling design
- Nonparametric regression for locally stationary time series
- ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS
- INFERENCE ON A SEMIPARAMETRIC MODEL WITH GLOBAL POWER LAW AND LOCAL NONPARAMETRIC TRENDS
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