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Parameter stability and semiparametric inference in time-varying ARCH models - MaRDI portal

Parameter stability and semiparametric inference in time-varying ARCH models

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Publication:6262530

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DOI10.1111/RSSB.12221arXiv1506.02984MaRDI QIDQ6262530

Lionel Truquet

Publication date: 9 June 2015

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)

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