Semi- and nonparametric ARCH processes
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- scientific article; zbMATH DE number 3958501
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Cites work
- scientific article; zbMATH DE number 47282 (Why is no real title available?)
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- Efficient estimation of a multivariate multiplicative volatility model
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- Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing Methods1
- Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
- Estimation of a semiparametric IGARCH(1,1) model
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- Regime switching for dynamic correlations
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Cited in
(10)- Fourth-order moments of augmented arch processes
- A semiparametric GARCH model for foreign exchange volatility
- Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing Methods1
- scientific article; zbMATH DE number 6607889 (Why is no real title available?)
- Estimation of a semiparametric IGARCH(1,1) model
- Nonparametric volatility prediction
- High-dimensional penalized ARCH processes
- An algorithm for nonparametric GARCH modelling.
- A Class of Nonlinear Arch Models
- Modelling financial time series with SEMIFAR GARCH model
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