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, 1992.
"Qualitative threshold ARCH models,"
Journal of Econometrics,
Elsevier, vol. 52(1-2), pages 159-199.
When requesting a correction, please mention this item's handle: RePEc:eee:econom:v:81:y:1997:i:1:p:223-242. See general information about how to correct material in RePEc.
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