Uniform Consistency of Modified Kernel Estimators in Nonparametric Multivariate VARCH-Models
AbstractThis paper shows the uniform consistency in probability of modified kernel estimators towards the Baire functions representing the conditional variances and contemporaneous conditional covariances provided the data generating process is given by a strictly stationary solution of a nonparametric multivariate VARCH(q,m)-model.
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Bibliographic InfoPaper provided by University of Bonn, Germany in its series Discussion Paper Serie B with number 318.
Date of creation: Jul 1995
Date of revision:
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VARCH-Model; kernel estimation; nonparametric regression;
Find related papers by JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
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.:
- 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.
- 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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