Normalized least-squares estimation in time-varying arch models

Annals of Statistics

Volumn 36, Issue 2, 2008, Pages 742-786

  Fryzlewicz, Piotr ^a   Sapatinas, Theofanis ^b   Subba Rao, Suhasini ^c  

^a UNIVERSITY OF BRISTOL   (United Kingdom)

^b UNIVERSITY OF CYPRUS   (Cyprus)

^c TEXAS A AND M UNIVERSITY   (United States)

Author keywords

(G)ARCH models; Cross validation; Kernel smoothing; Least squares estimation; Locally stationary models

Indexed keywords

EID: 51049101671     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: 10.1214/07-AOS510     Document Type: Article

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