Local Polynomial Estimation with a FARIMA-GARCH Error Process
No abstract is available for this item.
|Date of creation:||May 1999|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://cofe.uni-konstanz.de
More information through EDIRC
|Order Information:|| Web: http://cofe.uni-konstanz.de Email: |
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.:
- Jan Beran & Yuanhua Feng, 2002. "Local Polynomial Fitting with Long-Memory, Short-Memory and Antipersistent Errors," Annals of the Institute of Statistical Mathematics, Springer, vol. 54(2), pages 291-311, June.
- Hall, Peter & Hart, Jeffrey D., 1990. "Nonparametric regression with long-range dependence," Stochastic Processes and their Applications, Elsevier, vol. 36(2), pages 339-351, December.
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics,
Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Hosking, Jonathan R. M., 1996. "Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series," Journal of Econometrics, Elsevier, vol. 73(1), pages 261-284, July.
- Jan Beran & Yuanhua Feng & Günter Franke & Dieter Hess & Dirk Ocker, 1999. "SEMIFAR Models, with Applications to Commodities, Exchange Rates and the Volatility of Stock Market Indices," CoFE Discussion Paper 99-18, Center of Finance and Econometrics, University of Konstanz.
- Jan Beran & Dirk Ocker, 1999. "Volatility of Stock Market Indices - An Analysis based on SEMIFAR Models," CoFE Discussion Paper 99-14, Center of Finance and Econometrics, University of Konstanz.
When requesting a correction, please mention this item's handle: RePEc:knz:cofedp:9908. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ingmar Nolte)The email address of this maintainer does not seem to be valid anymore. Please ask Ingmar Nolte to update the entry or send us the correct address
If references are entirely missing, you can add them using this form.