Non‐stationary non‐parametric volatility model

DOI10.1111/j.1368-423X.2011.00357.xOpenAlexW2122119510MaRDI QIDQ5093184

Heejoon Han, Shen Zhang

Publication date: 26 July 2022

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2011.00357.x

zbMATH Keywords

kernel estimationvolatility persistencenon-stationaritylong memory propertynon-parametric ARCHnon-parametric cointegrating regression

Mathematics Subject Classification ID

Statistics (62-XX)

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