Statistical inference for nonparametric GARCH models

DOI10.1016/J.SPA.2016.03.010MaRDI QIDQ311986zbMATH OpenOpenAlexFDO

Authors Alexander Meister, Jens-Peter Kreiß

Publication date 13 September 2016

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2016.03.010

zbMATH Keywords

nonparametric regressionautoregressionfinancial time seriesminimax ratesinference for stochastic processes

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) 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 1420699 (Why is no real title available?)
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• Conditional Heteroskedasticity in Asset Returns: A New Approach
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• Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing Methods1
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• Tree-structured generalized autoregressive conditional heteroscedastic models
• Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE
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Cited in

(10)

• Efficient nonparametric estimation and inference for the volatility function
• ESTIMATION IN AN ADDITIVE MODEL WHEN THE COMPONENTS ARE LINKED PARAMETRICALLY
• Consistency of a nonparametric least squares estimator in integer-valued GARCH models
• Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models
• Convergence of heuristic-based estimators of the GARCH model
• An algorithm for nonparametric GARCH modelling.
• Cointegration models with non Gaussian GARCH innovations
• Root-\(T\) consistent density estimation in GARCH models
• scientific article; zbMATH DE number 2002583 (Why is no real title available?)
• Statistical inference for non-stationary GARCH(p,q) models

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