Statistical inference for nonparametric GARCH models
نویسندگان
چکیده
منابع مشابه
Statistical inference for nonparametric GARCH models
We consider extensions of the famous GARCH(1, 1) model where the recursive equation for the volatilities is not specified by a parametric link but by a smooth autoregression function. Our goal is to estimate this function under nonparametric constraints when the volatilities are observed with multiplicative innovation errors. We construct an estimation procedure whose risk attains the usual con...
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چکیده ندارد.
15 صفحه اولInference for Structural Impulse Responses in SVAR-GARCH Models
Conditional heteroskedasticity can be exploited to identify the structural vector autoregressions (SVAR) but the implications for inference on structural impulse responses have not been investigated in detail yet. We consider the conditionally heteroskedastic SVAR-GARCH model and propose a bootstrap-based inference procedure on structural impulse responses. We compare the finite-sample properti...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2016
ISSN: 0304-4149
DOI: 10.1016/j.spa.2016.03.010