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Non‐stationary non‐parametric volatility model

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  • Heejoon Han
  • Shen Zhang

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  • Heejoon Han & Shen Zhang, 2012. "Non‐stationary non‐parametric volatility model," Econometrics Journal, Royal Economic Society, vol. 15(2), pages 204-225, June.
    • Handle: RePEc:wly:emjrnl:v:15:y:2012:i:2:p:204-225
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    Cited by:

    1. Hu, Shuowen & Poskitt, D.S. & Zhang, Xibin, 2021. "Bayesian estimation for a semiparametric nonlinear volatility model," Economic Modelling, Elsevier, vol. 98(C), pages 361-370.
    2. Hong, Shaoxin & Zhang, Zhengyi & Cai, Zongwu, 2021. "Testing heteroskedasticity for predictive regressions with nonstationary regressors," Economics Letters, Elsevier, vol. 201(C).
    3. Neto, David, 2016. "Extracting volatility signal using maximum a posteriori estimation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 461(C), pages 788-794.

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