Estimating Semiparametric ARCH (8) Models by Kernel Smoothing Methods
Year of publication: |
2003-05
|
---|---|
Authors: | Linton, Oliver ; Mammen, Enno |
Institutions: | Suntory and Toyota International Centres for Economics and Related Disciplines, LSE |
Subject: | ARCH | inverse problem | kernel estimation | news impact curve | nonparametric regression | profile likelihood | semiparametric estimation | volatility |
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