Nonparametric estimation of volatility models with serially dependent innovations

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

Authors 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)

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Cites work

• scientific article; zbMATH DE number 1232374 (Why is no real title available?)
• scientific article; zbMATH DE number 739534 (Why is no real title available?)
• Asymptotically optimal difference-based estimation of variance in nonparametric regression
• Asymptotics for Semiparametric Econometric Models Via Stochastic Equicontinuity
• Central limit theorem for linear processes
• Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers
• Efficient estimation of conditional variance functions in stochastic regression
• Local polynomial estimators of the volatility function in nonparametric autoregression
• Notation in econometrics: a proposal for a standard
• On Estimation of a Probability Density Function and Mode
• Remarks on Some Nonparametric Estimates of a Density Function
• Smoothing methods in statistics

Cited in

(7)

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

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