Local polynomial estimators of the volatility function in nonparametric autoregression
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 81 (1997)
Issue (Month): 1 (November)
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Web page: http://www.elsevier.com/locate/jeconom
Other versions of this item:
- Wolfgang HÄRDLE & A. TSYBAKOV, 1995. "Local Polynomial Estimators of the Volatility Function in Nonparametric Autoregression," SFB 373 Discussion Papers 1995,42, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Gourieroux, Christian & Monfort, Alain, 1992.
"Qualitative threshold ARCH models,"
Journal of Econometrics,
Elsevier, vol. 52(1-2), pages 159-199.
- Gregory, Allan W, 1989. "A Nonparametric Test for Autoregressive Conditional Heteroscedasticity: A Markov-Chain Approach," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(1), pages 107-15, January.
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