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Let's get LADE : robust estimation of semiparametric multiplicative volatility models
Koo, Bonsoo; Linton, Oliver - 2013
We investigate a model in which we connect slowly time varying unconditional long-run volatility with short-run conditional volatility whose representation is given as a semi-strong GARCH (1,1) process with heavy tailed errors. We focus on robust estimation of both long-run and short-run...
Persistent link: https://www.econbiz.de/10009719116
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Semiparametric and nonparametric ARCH modeling
Linton, Oliver - In: Handbook of financial time series, (pp. 157-167). 2009
Persistent link: https://www.econbiz.de/10003833925
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The shape of the risk premium : evidence from a semiparametric GARCH model
Linton, Oliver; Perron, Benoit - 1999
Persistent link: https://www.econbiz.de/10001504846
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A local instrumental estimation method for generalized additive volatility models
Kim, Woocheol; Linton, Oliver - 2000
Persistent link: https://www.econbiz.de/10001531783
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Adaptive testing in ARCH models
Linton, Oliver; Steigerwald, Douglas G. - In: Econometric reviews 19 (2000) 2, pp. 145-174
Persistent link: https://www.econbiz.de/10001483693
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Estimating semiparametric arch (∞) models by kernel smoothing methods
Linton, Oliver; Mammen, Enno - 2003
Persistent link: https://www.econbiz.de/10001759685
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A local instrumental variable estimation method for generalized additive volatility models
Kim, Woocheol; Linton, Oliver - 2003
Persistent link: https://www.econbiz.de/10001767194
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The shape of the risk premium : evidence from a semiparametric generalized autoregressive conditional heteroscedasticity model
Linton, Oliver; Perron, Benoit - In: Journal of business & economic statistics : JBES ; a … 21 (2003) 3, pp. 354-367
Persistent link: https://www.econbiz.de/10001785807
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A local instrumental variable estimation method for generalized additive volatility models
Kim, Woocheol; Linton, Oliver - 2004
Persistent link: https://www.econbiz.de/10002815384
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Estimating semiparametric ARCH models by kernel smoothing methods
Mammen, Enno; Linton, Oliver - 2004
Persistent link: https://www.econbiz.de/10002815397