Nonparametric estimation of volatility models with serially dependent innovations

DOI10.1016/J.SPL.2006.05.018zbMATH Open1107.62109OpenAlexW2139426285MaRDI QIDQ866604FDOQ866604

N. E. Zubov

Publication date: 14 February 2007

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2006.05.018

zbMATH Keywords

asymptoticssemiparametric estimationweak form volatility models

Mathematics Subject Classification ID

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

Cites Work

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• Asymptotically optimal difference-based estimation of variance in nonparametric regression
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• On Estimation of a Probability Density Function and Mode
• Local polynomial estimators of the volatility function in nonparametric autoregression
• Central limit theorem for linear processes
• Notation in econometrics: a proposal for a standard

Cited In (7)

• Simultaneous confidence bands for time-series prediction function
• Spline confidence bands for variance functions
• Nonlinear autoregressive model with stochastic volatility innovations: semiparametric and Bayesian approach
• Asymptotic theory for time series with changing mean and variance
• Nonparametric regression with rescaled time series errors
• Spline estimation of a semiparametric GARCH model
• Inference in Autoregression under Heteroskedasticity

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