Doubly penalized likelihood estimator in heteroscedastic regression
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References listed on IDEAS
- Fan, Jianqing & Yao, Qiwei, 1998. "Efficient estimation of conditional variance functions in stochastic regression," LSE Research Online Documents on Economics 6635, London School of Economics and Political Science, LSE Library.
- Gallant, A. Ronald & Tauchen, George, 1997.
"Estimation Of Continuous-Time Models For Stock Returns And Interest Rates,"
Cambridge University Press, vol. 1(01), pages 135-168, January.
- Tauchen, George E. & Gallant, A. Ronald, 1995. "Estimation of Continuous Time Models for Stock Returns and Interest Rates," Working Papers 95-53, Duke University, Department of Economics.
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