Local likelihood estimators in a regression model for stock returns

DOI10.1080/14697680701656181zbMath1152.91714OpenAlexW2110036279MaRDI QIDQ3539547

Uwe Christian Jönck

Publication date: 18 November 2008

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680701656181

zbMATH Keywords

financial time seriesstatisticsfinancial econometricsfinancial modelling

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Point estimation (62F10) Statistical methods; economic indices and measures (91B82)

Cites Work

• ARCH models and financial applications
• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Local Maximum Likelihood Estimation and Inference
• Local Polynomial Estimation in Multiparameter Likelihood Models
• An analysis of variance test for normality (complete samples)

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