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)

Recommendations

• Efficient nonparametric estimation and inference for the volatility function
• An algorithm for nonparametric GARCH modelling.
• Root-\(T\) consistent density estimation in GARCH models
• Nonparametric modelling and estimation of stochastic volatility
• Nonparametric estimation of a time-varying GARCH model

Cites work

• scientific article; zbMATH DE number 1420699 (Why is no real title available?)
• A Bernstein type inequality and moderate deviations for weakly dependent sequences
• Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models
• An algorithm for nonparametric GARCH modelling.
• Augmented GARCH sequences: Dependence structure and asymptotics
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
• Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing Methods1
• GARCH processes: structure and estimation
• Generalized autoregressive conditional heteroscedasticity
• Inference in Arch and Garch Models with Heavy-Tailed Errors
• Iterated Random Functions
• Kalman Filtering with Random Coefficients and Contractions
• Limit experiments of GARCH
• Limit theorems for iterated random functions
• Nonlinear time series. Nonparametric and parametric methods
• Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models
• Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
• Semiparametric inference in a GARCH-in-mean model
• Splines for financial volatility
• Stationarity of GARCH processes and of some nonnegative time series
• The efficiency of the estimators of the parameters in GARCH processes.
• Tree-structured generalized autoregressive conditional heteroscedastic models
• Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE
• Weak convergence and empirical processes. With applications to statistics

Cited in

(10)

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

This page was built for publication: Statistical inference for nonparametric GARCH models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q311986)