Spline estimation of a semiparametric GARCH model
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Nonparametric regression and quantile regression (62G08) 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) Applications of statistics to economics (62P20)
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Cites work
- A practical guide to splines.
- A semiparametric GARCH model for foreign exchange volatility
- Additive regression and other nonparametric models
- Aggregation of the random coefficient GLARCH(1,1) process
- Augmented GARCH\((p,q)\) process and its diffusion limit
- Bandwidth selection for a class of difference-based variance estimators in the nonparametric regression: a possible approach
- Efficient estimation of a multivariate multiplicative volatility model
- Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing Methods1
- ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS
- Estimation of a semiparametric IGARCH(1,1) model
- Generalized autoregressive conditional heteroscedasticity
- Identification of Non-Linear Additive Autoregressive Models
- Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
- Least absolute deviations estimation for ARCH and GARCH models
- Local asymptotics for polynomial spline regression
- MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
- Model selection for (auto-)regression with dependent data
- Negative volatility spillovers in the unrestricted ECCC-GARCH model
- Nonlinear time series. Nonparametric and parametric methods
- Nonparametric estimation of volatility models with serially dependent innovations
- Parameter estimation in nonlinear AR-GARCH models
- QML estimation of a class of multivariate asymmetric GARCH models
- RANK-BASED ESTIMATION FOR GARCH PROCESSES
- Semiparametric and Nonparametric ARCH Modeling
- Semiparametric efficient adaptive estimation of asymmetric GARCH models
- Spline-backfitted kernel smoothing of nonlinear additive autoregression model
- Temporal aggregation of multivariate GARCH processes
- Variance estimation in nonparametric regression via the difference sequence method
Cited in
(11)- Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models
- Splines for financial volatility
- Efficient semiparametric garch modeling of financial volatility
- Modeling time-varying unconditional variance by means of a free-knot spline-GARCH model
- Two-step estimation for time varying ARCH models
- Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing Methods1
- ADAPTIVE AND MONOTONE SPLINE ESTIMATION OF THE CROSS-SECTIONAL TERM STRUCTURE
- Estimation and inference in factor copula models with exogenous covariates
- Bayesian modelling of time-varying conditional heteroscedasticity
- Multi-step-ahead prediction interval for locally stationary time series with application to air pollutant concentration data
- Nonparametric volatility prediction
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