A recursive online algorithm for the estimation of time-varying ARCH parameters

DOI10.3150/07-BEJ5009zbMath1127.62078arXiv0708.4081OpenAlexW2102600598MaRDI QIDQ2465270

Suhasini Subba Rao, Rainer Dahlhaus

Publication date: 9 January 2008

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0708.4081

zbMATH Keywords

locally stationaryANRE algorithmmixingale propertiesrecursive online algorithmstime-varying ARCH process

Mathematics Subject Classification ID

Related Items (8)

Convergence of covariance and spectral density estimates for high-dimensional locally stationary processes ⋮ A New Recursive Estimation Method for Single Input Single Output Models ⋮ Real time estimation of stochastic volatility processes ⋮ A recursive online algorithm for the estimation of time-varying ARCH parameters ⋮ Spectral estimation for locally stationary time series with missing observations ⋮ DETECTING FOR SMOOTH STRUCTURAL CHANGES IN GARCH MODELS ⋮ Time-varying NoVaS versus GARCH: point prediction, volatility estimation and prediction intervals ⋮ Structural Adaptive Smoothing Procedures

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• On multiple regression models with nonstationary correlated errors
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• Stability of Recursive Stochastic Tracking Algorithms
• On a Perturbation Approach for the Analysis of Stochastic Tracking Algorithms

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