Semi- and Nonparametric ARCH Processes
Joint Authors
Source
Journal of Probability and Statistics
Issue
Vol. 2011, Issue 2011 (31 Dec. 2011), pp.1-17, 17 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2010-08-05
Country of Publication
Egypt
No. of Pages
17
Main Subjects
Abstract EN
ARCH/GARCH modelling has been successfully applied in empirical finance for many years.
This paper surveys the semiparametric and nonparametric methods in univariate and multivariate ARCH/GARCH models.
First, we introduce some specific semiparametric models and investigate the semiparametric and nonparametrics estimation techniques applied to: the error density, the functional form of the volatility function, the relationship between mean and variance, long memory processes, locally stationary processes, continuous time processes and multivariate models.
The second part of the paper is about the general properties of such processes, including stationary conditions, ergodic conditions and mixing conditions.
The last part is on the estimation methods in ARCH/GARCH processes.
American Psychological Association (APA)
Linton, Oliver B.& Yan, Yang. 2010. Semi- and Nonparametric ARCH Processes. Journal of Probability and Statistics،Vol. 2011, no. 2011, pp.1-17.
https://search.emarefa.net/detail/BIM-506992
Modern Language Association (MLA)
Linton, Oliver B.& Yan, Yang. Semi- and Nonparametric ARCH Processes. Journal of Probability and Statistics No. 2011 (2011), pp.1-17.
https://search.emarefa.net/detail/BIM-506992
American Medical Association (AMA)
Linton, Oliver B.& Yan, Yang. Semi- and Nonparametric ARCH Processes. Journal of Probability and Statistics. 2010. Vol. 2011, no. 2011, pp.1-17.
https://search.emarefa.net/detail/BIM-506992
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-506992