Local estimation in AR models with nonparametric ARCH errors

Communications in Statistics - Theory and Methods

Volumn 37, Issue 10, 2008, Pages 1591-1609

  Zhu, Fukang ^a   Wang, Dehui ^a  

^a JILIN UNIVERSITY   (China)

Author keywords

ARCH errors; Autoregressive; Kernel estimation; Local quasi likelihood

Indexed keywords

ASYMPTOTIC ANALYSIS; COMPUTER SIMULATION; ERROR ANALYSIS; LINEAR REGRESSION; PROBLEM SOLVING;

AUTOREGRESSIVE; KERNEL ESTIMATION; LOCAL QUASI-LIKELIHOOD; VOLATILITY FUNCTION;

PARAMETER ESTIMATION;

EID: 41249100107     PISSN: 03610926     EISSN: 1532415X     Source Type: Journal    
DOI: 10.1080/03610920701739612     Document Type: Article

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