A semiparametric GARCH model for foreign exchange volatility

DOI10.1016/j.jeconom.2005.03.006zbMath1337.62335OpenAlexW2089448136WikidataQ61865772 ScholiaQ61865772MaRDI QIDQ274897

Lijian Yang

Publication date: 25 April 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.03.006

zbMATH Keywords

goodness-of-fitequivalent kernelgeometric mixinglocal polynomial

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: estimation (62M09) Economic time series analysis (91B84)

Related Items (11)

Semi-parametric estimation and forecasting for exogenous log-GARCH models ⋮ Daily nonparametric ARCH(1) model estimation using intraday high frequency data ⋮ A linear varying coefficient ARCH-M model with a latent variable ⋮ Semiparametric score driven volatility models ⋮ Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models ⋮ Semi- and nonparametric ARCH processes ⋮ Estimation and inference in factor copula models with exogenous covariates ⋮ Two‐Step Estimation for Time Varying Arch Models ⋮ The profile likelihood estimation for single-index ARCH(\(p\))-M model ⋮ A functional coefficient GARCH-M model ⋮ SPLINE ESTIMATION OF A SEMIPARAMETRIC GARCH MODEL

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