Choosing between persistent and stationary volatility
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Publication:2112824
DOI10.1214/22-AOS2236OpenAlexW4312072399MaRDI QIDQ2112824
Liudas Giraitis, George Kapetanios, Ilias Chronopoulos
Publication date: 12 January 2023
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/journals/annals-of-statistics/volume-50/issue-6/Choosing-between-persistent-and-stationary-volatility/10.1214/22-AOS2236.full
Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Asymptotic properties of parametric tests (62F05)
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