Regression with Nonstationary Volatility

DOI10.2307/2171723zbMath0836.62062OpenAlexW2019505791MaRDI QIDQ4859504

Bruce E. Hansen

Publication date: 1 February 1996

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2171723

zbMATH Keywords

linear processadaptive estimatorconditional heteroskedasticitystochastic integralsintegrated processesnonstationary time seriesgeneralized least squares estimatorleast squares estimatesconditional variancesautoregressive rootsautoregressive stochastic volatility processesmartingale difference innovationsnew asymptotic theory of regression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)

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