Estimating semiparametric ARCH (8) models by kernel smoothing methods
Year of publication: |
2003-05
|
---|---|
Authors: | Linton, Oliver ; Mammen, Enno |
Institutions: | London School of Economics (LSE) |
Subject: | ARCH | inverse problem | kernel estimation | news impact curve | nonparametric regression | profile likelihood | semiparametric estimation | volatility |
Extent: | application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Econometrics; EM/2003/453, EM/03/453 60 pages |
Classification: | G12 - Asset Pricing ; C14 - Semiparametric and Nonparametric Methods ; C13 - Estimation |
Source: |
-
Estimating semiparametric ARCH (∞) models by kernel smoothing methods
Linton, Oliver, (2003)
-
Estimating Semiparametric ARCH (8) Models by Kernel Smoothing Methods
Linton, Oliver, (2003)
-
Let's get LADE : robust estimation of semiparametric multiplicative volatility models
Koo, Bonsoo, (2013)
- More ...
-
Estimating semiparametric ARCH (∞) models by kernel smoothing methods
Linton, Oliver, (2003)
-
Nonparametric transformation to white noise
Linton, Oliver, (2006)
-
More efficient kernel estimation in nonparametric regression with autocorrelated errors
Carroll, Raymond J, (2002)
- More ...