Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model
Year of publication: |
2021
|
---|---|
Authors: | Jiang, Feiyu ; Li, Dong ; Zhu, Ke |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 224.2021, 2, p. 306-329
|
Subject: | Adaptive inference | Lagrange multiplier test | Portmanteau test | QMLE | Semiparametric BEKK model | Semiparametric GARCH model | ARCH-Modell | ARCH model | Nichtparametrisches Verfahren | Nonparametric statistics | Schätztheorie | Estimation theory | Induktive Statistik | Statistical inference | Zeitreihenanalyse | Time series analysis | Statistischer Test | Statistical test |
-
Testing against changing correlation
Harvey, Andrew C., (2016)
-
Sieve Inference on Semi-Nonparametric Time Series Models
Chen, Xiaohong, (2012)
-
Sieve inference on semi-nonparametric time series models
Chen, Xiaohong, (2012)
- More ...
-
Non-standard inference for augmented double autoregressive models with null volatility coefficients
Jiang, Feiyu, (2020)
-
Asset pricing via the conditional quantile variational autoencoder
Yang, Xuanling, (2024)
-
Testing error distribution by kernelized Stein discrepancy in multivariate time series models
Luo, Donghang, (2023)
- More ...