Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models

Econometrics Journal

Volumn 12, Issue 2, 2009, Pages 248-271

  Cizek P ^a   Härdle, Wiwi ^b   Spokoiny, V ^b  

^a TILBURG UNIVERSITY   (Netherlands)

^b HUMBOLDT UNIVERSITY   (Germany)

Author keywords

Adaptive pointwise estimation; Autoregressive models; Conditional hetero scedasticity models; Local time homogeneity

Indexed keywords

EID: 68149171595     PISSN: 13684221     EISSN: 1368423X     Source Type: Journal    
DOI: 10.1111/j.1368-423X.2009.00292.x     Document Type: Article

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