A time varying \(\mathrm{GARCH}(p,q)\) model and related statistical inference

DOI10.1016/j.spl.2013.04.030zbMath1279.62191OpenAlexW2093688906MaRDI QIDQ2637362

Neelabh Rohan

Publication date: 11 February 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2013.04.030

zbMATH Keywords

weighted bootstraplocal polynomial estimationvolatility modelingtime varying GARCH

Mathematics Subject Classification ID

Related Items (6)

A time varying \(\mathrm{GARCH}(p,q)\) model and related statistical inference ⋮ Contrast estimation of time-varying infinite memory processes ⋮ Estimation and prediction of time-varying GARCH models through a state-space representation: a computational approach ⋮ Bayesian modelling of time-varying conditional heteroscedasticity ⋮ Nonstationary autoregressive conditional duration models ⋮ Simultaneous inference for time-varying models

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