SPLINE ESTIMATION OF A SEMIPARAMETRIC GARCH MODEL
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Publication:2826010
DOI10.1017/S0266466615000055zbMath1442.62751WikidataQ61865740 ScholiaQ61865740MaRDI QIDQ2826010
Publication date: 14 October 2016
Published in: Econometric Theory (Search for Journal in Brave)
Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Related Items (4)
Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models ⋮ Estimation and inference in factor copula models with exogenous covariates ⋮ Bayesian modelling of time-varying conditional heteroscedasticity ⋮ Two‐Step Estimation for Time Varying Arch Models
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