Local Likelihood for non‐parametric ARCH(1) models
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DOI: 10.1111/j.1467-9892.2005.00400.x
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References listed on IDEAS
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- Francesco Audrino & Peter Bühlmann, 2007. "Splines for Financial Volatility," University of St. Gallen Department of Economics working paper series 2007 2007-11, Department of Economics, University of St. Gallen.
- Arash Nademi & Rahman Farnoosh, 2014. "Mixtures of autoregressive-autoregressive conditionally heteroscedastic models: semi-parametric approach," Journal of Applied Statistics, Taylor & Francis Journals, vol. 41(2), pages 275-293, February.
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