Local Likelihood for non‐parametric ARCH(1) models

DOI10.1111/j.1467-9892.2005.00400.xzbMath1091.62067OpenAlexW3125876332MaRDI QIDQ5467603

Francesco Audrino

Publication date: 24 May 2006

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2005.00400.x

zbMATH Keywords

consistencyasymptotic normalitylocal likelihoodkernel regression estimator

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Related Items (5)

Splines for Financial Volatility ⋮ A semiparametric method for estimating nonlinear autoregressive model with dependent errors ⋮ Mixtures of autoregressive-autoregressive conditionally heteroscedastic models: semi-parametric approach ⋮ Semiparametric estimation of regression functions in autoregressive models ⋮ Local Estimation in AR Models with Nonparametric ARCH Errors

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• ESTIMATION IN AN ADDITIVE MODEL WHEN THE COMPONENTS ARE LINKED PARAMETRICALLY
• Nonparametric Autoregression with Multiplicative Volatility and Additive mean

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