Uniform Consistency of Modified Kernel Estimators in Nonparametric Multivariate VARCH-Models

This paper shows the uniform consistency in probability of modified kernel estimators towards the Baire functions representing the conditional variances and contemporaneous conditional covariances provided the data generating process is given by a strictly stationary solution of a nonparametric multivariate VARCH(q,m)-model.

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Year of publication:	1995-07
Authors:	Cron, Axel
Institutions:	University of Bonn, Germany
Subject:	VARCH-Model \| kernel estimation \| nonparametric regression

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Extent:	application/postscript
Series:	Discussion Paper Serie B.
Type of publication:	Book / Working Paper
Classification:	C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10004968241