THE LIVE METHOD FOR GENERALIZED ADDITIVE VOLATILITY MODELS

DOI10.1017/S026646660420603XzbMath1069.62084OpenAlexW2115067055MaRDI QIDQ5314883

Oliver B. Linton, Woo Cheol Kim

Publication date: 5 September 2005

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

Full work available at URL: https://doi.org/10.1017/s026646660420603x

zbMATH Keywords

GANARCHoracle standards

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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LOCAL INSTRUMENTAL VARIABLE METHOD FOR THE GENERALIZED ADDITIVE-INTERACTIVE NONLINEAR VOLATILITY MODEL ESTIMATION, AN IMPROVED GENERALIZED SPECTRAL TEST FOR CONDITIONAL MEAN MODELS IN TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY OF UNKNOWN FORM, Semi- and nonparametric ARCH processes, Semiparametric estimation of volatility: some models and complexity choice in the adaptive functional-coefficient class

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