Uniform Consistency of Modified Kernel Estimators in Parametric ARCH- Models

This paper shows the uniform consistency in probability of a modified kernel estimator towards the Baire function representing the conditional variance provided the data generating process is given by a strictly stationary solution of a parametric ARCH(q)- model.

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Year of publication:	1995-06
Authors:	Cron, Axel
Institutions:	University of Bonn, Germany
Subject:	ARCH(q)-model \| kernel estimation \| nonparametric regression

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Extent:	application/postscript
Series:	Discussion Paper Serie B.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series SFB Number 303, Discussion Paper B-316 2 pages long
Classification:	C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004968317