Weighted averages and local polynomial estimation for fractional linear ARCH processes

DOI10.1080/15598608.2007.10411831zbMath1155.62063OpenAlexW2011974230MaRDI QIDQ1001706

Yuanhua Feng, Jan Beran

Publication date: 24 February 2009

Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15598608.2007.10411831

zbMATH Keywords

central limit theoremvolatilitylocal polynomial estimationLARCH processlocation estimation

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Central limit and other weak theorems (60F05)

Related Items (2)

On spline regression under Gaussian subordination with long memory ⋮ On piecewise polynomial regression under general dependence conditions, with an application to calcium-imaging data

Uses Software

• longmemo

Cites Work

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