LET’S GET LADE: ROBUST ESTIMATION OF SEMIPARAMETRIC MULTIPLICATIVE VOLATILITY MODELS

DOI10.1017/S0266466614000516zbMath1441.62781OpenAlexW3122349307MaRDI QIDQ3450342

Oliver B. Linton, Bonsoo Koo

Publication date: 3 November 2015

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466614000516

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric robustness (62G35) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05)

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