Locally Stationary Multiplicative Volatility Modeling

DOI10.1080/07350015.2022.2036612OpenAlexW4210241952MaRDI QIDQ6149862

Michael Vogt, Christopher Walsh

Publication date: 5 March 2024

Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07350015.2022.2036612

zbMATH Keywords

GARCHsemiparametriclocal stationaritysmooth backfittingmultiplicative volatility

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

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• The existence and asymptotic properties of a backfitting projection algorithm under weak conditions
• Efficient estimation of a multivariate multiplicative volatility model
• Variable selection in nonparametric additive models
• Fitting time series models to nonstationary processes
• On the Kullback-Leibler information divergence of locally stationary processes
• Normalized least-squares estimation in time-varying ARCH models
• Statistical inference for time-varying ARCH processes
• Parameter Stability and Semiparametric Inference in Time Varying Auto-Regressive Conditional Heteroscedasticity Models
• Estimating nonlinear additive models with nonstationarities and correlated errors
• SIMULTANEOUSLY MODELING CONDITIONAL HETEROSKEDASTICITY AND SCALE CHANGE
• ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELS

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