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Uniform Consistency of Modified Kernel Estimators in Parametric ARCH- Models

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  • Axel Cron
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    Abstract

    This paper shows the uniform consistency in probability of a modified kernel estimator towards the Baire function representing the conditional variance provided the data generating process is given by a strictly stationary solution of a parametric ARCH(q)- model.

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    File URL: http://www.wiwi.uni-bonn.de/bgsepapers/bonsfb/bonsfb316.ps
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    Bibliographic Info

    Paper provided by University of Bonn, Germany in its series Discussion Paper Serie B with number 303, Discussion Paper B-316.

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    Length: 24
    Date of creation: Jun 1995
    Date of revision:
    Handle: RePEc:bon:bonsfb:316

    Contact details of provider:
    Postal: Bonn Graduate School of Economics, University of Bonn, Adenauerallee 24 - 26, 53113 Bonn, Germany
    Fax: +49 228 73 6884
    Web page: http://www.bgse.uni-bonn.de/index.php?id=517

    Related research

    Keywords: ARCH(q)-model; kernel estimation; nonparametric regression.;

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    1. Bougerol, Philippe & Picard, Nico, 1992. "Stationarity of Garch processes and of some nonnegative time series," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 115-127.
    2. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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