Nonparametric estimation of volatility models with serially dependent innovations

DOI10.1016/J.SPL.2006.05.018zbMath1107.62109OpenAlexW2139426285MaRDI QIDQ866604

N. E. Zubov

Publication date: 14 February 2007

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2006.05.018

zbMATH Keywords

asymptoticssemiparametric estimationweak form volatility models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05)

Related Items (6)

Spline confidence bands for variance functions ⋮ Asymptotic theory for time series with changing mean and variance ⋮ Simultaneous confidence bands for time-series prediction function ⋮ SPLINE ESTIMATION OF A SEMIPARAMETRIC GARCH MODEL ⋮ Nonparametric regression with rescaled time series errors ⋮ Inference in Autoregression under Heteroskedasticity

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• Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers
• Efficient estimation of conditional variance functions in stochastic regression
• Asymptotics for Semiparametric Econometric Models Via Stochastic Equicontinuity
• Notation in econometrics: a proposal for a standard
• On Estimation of a Probability Density Function and Mode

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