Local likelihood for non-parametric ARCH(1) models

Journal of Time Series Analysis

Volumn 26, Issue 2, 2005, Pages 251-278

  Audrino, Francesco ^a  

^a UNIVERSITY OF LUGANO   (Switzerland)

Author keywords

ARCH model; Kernel regression smoothing; Local likelihood; Return time series; Volatility

Indexed keywords

EID: 14644393549     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1467-9892.2005.00400.x     Document Type: Article

References (23)

1. AUDRINO, F. and BÜHLMANN, P. (2001) Tree-structured GARCH models. Journal of the Royal Statistical Society, Series B 63, 727-44.
2. BILLINGSLEY, P. (1968) Convergence of Probability Measures. New York: Wiley.
3. BOENTE, G. and FRAIMAN, R. (1989) Robust nonparametric regression estimation for dependent observations. The Annals of Statistics 17, 1242-56.
4. BOENTE, G. and FRAIMAN, R. (1990) Asymptotic distribution of robust estimators for nonparametric models from mixing processes. The Annals of Statistics 18, 891-906.
5. BÜHLMANN, P. and MCNEIL, A. J. (2002) An algorithm for nonparametric GARCH modelling. Computational Statistics and Data Analysis 40, 665-83.
6. CARROLL, R. J., HAERDLE, W. and MAMMEN, E. (2002) Estimation in an additive model when components are linked parametrically. Econometric Theory 18, 886-912.
7. DOUKHAN, P. (1994) Mixing: Properties and Examples. Lectures Notes in Statistic 85. New York: Springer.
8. DROST, F. C. and KLAASSEN, C. A. J. (1997) Efficient estimation in semiparametric GARCH models. Journal of Econometrics 81, 193-221.
9. FRANKE, J., HOLZBERGER, H. and MUELLER, M. (2001) Nonparametric estimators of GARCH processes. In Applied Quantitative Finance (eds W. HAERDLE, T. KLEINOW and G. STAHL). New york: Springer-Verlag.
10. GRAY, S. F. (2003) Semi-parametric ARCH models. Mimeo, Fuqua School of Business, Duke University.
11. HÄRDLE, W. (1994) Applied Nonparametric Regression. Cambridge University Press.
12. HÄRDLE, W. and GASSER, T. (1984) Robust non-parametric function fitting. Journal of the Royal Statistical Society, Series B 46, 42-51.
13. HÄRDLE, W. and VIEU, P. (1992) Kernel regression smoothing of time series. Journal of Time Series Analysis 13, 209-232.
14. HAFNER, C. M. (1998) Estimating high-frequency foreign exchange rate volatility with nonparametric ARCH models. Journal of Statistical Planning and Inference 68, 247-69.
15. HART, J. D. and VIEU, P. (1990) Data-driven bandwidth choice for density estimation based on dependent data. Annals of Statistics 18, 873-90.
16. HASTIE, T. and TIBSHIRANI, R. (1990) Generalized Additive Models. London: Chapman & Hall.
17. KÜNSCH, H. R. (1997) Skript zur Vorlesung Mathematische Statistik. Zürich: ETH.
18. LOADER, C. (1999) Local Regression and Likelihood. Statistic and Computing. New York: Springer.
19. MIKOSCH, T. and STARICA, C. (1999) Change of structure in financial data, long-range dependence and GARCH modelling. Technical report, University of Groningen.
20. ROSENBLATT, M. (1956) A central limit theorem and a strong mixing condition. Proc. Nat. Acad. Sci. U.S.A. 42, 43-7.
21. YANG, L. (2002) Direct estimation in an additive model when the components are proportional. Statistica Sinica 12, 801-21.
22. YANG, L. (2004) A semiparametric GARCH model for foreign exchange volatility. Journal of Econometrics (in press).
23. YANG, L., HÄRDLE, W. and NIELSEN, J. P. (1999) Nonparametric autoregression with multiplicative volatility and additive mean. Journal of Time Series Analysis 20, 579-604.