Semiparametric efficient adaptive estimation of the GJR-GARCH model

DOI10.1515/strm-2017-0015zbMath1408.62145OpenAlexW2885813924MaRDI QIDQ1756033

Nicola Ciccarelli

Publication date: 11 January 2019

Published in: Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/strm-2017-0015

zbMATH Keywords

semiparametric estimationnonparametric inferenceasymmetric volatilityGJR-GARCH

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35)

Uses Software

• KernSmooth

Cites Work

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