Statistical inference for nonparametric GARCH models

DOI10.1016/j.spa.2016.03.010zbMath1347.62199OpenAlexW2337384049MaRDI QIDQ311986

Alexander Meister, Jens-Peter Kreiss

Publication date: 13 September 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2016.03.010

zbMATH Keywords

nonparametric regressionfinancial time seriesautoregressionminimax ratesinference for stochastic processes

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (3)

Consistency of a nonparametric least squares estimator in integer-valued GARCH models ⋮ Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models ⋮ Efficient nonparametric estimation and inference for the volatility function

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