Local polynomial estimators of the volatility function in nonparametric autoregression
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- 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.
- Gourieroux Christian & Monfort Alain, 1991.
"Qualitative threshold arch models,"
CEPREMAP Working Papers (Couverture Orange)
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