SIMULTANEOUSLY MODELING CONDITIONAL HETEROSKEDASTICITY AND SCALE CHANGE
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Publication:4653562
DOI10.1017/S0266466604203061zbMath1061.62133MaRDI QIDQ4653562
Publication date: 7 March 2005
Published in: Econometric Theory (Search for Journal in Brave)
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) Nonparametric estimation (62G05)
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Testing and Modelling for the Structural Change in Covariance Matrix Time Series With Multiplicative Form ⋮ Locally Stationary Multiplicative Volatility Modeling ⋮ Modelling time trend via spline confidence band ⋮ Testing constancy of unconditional variance in volatility models by misspecification and specification tests ⋮ Data-driven estimation of diurnal patterns of durations between trades on financial markets ⋮ On estimation of mean and covariance functions in repeated time series with long-memory errors ⋮ Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model ⋮ On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations ⋮ Specification and testing of multiplicative time-varying GARCH models with applications
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