Local Polynomial Estimators of the Volatility Function in Nonparametric Autoregression
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|Date of creation:||1995|
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- Gourieroux Christian & Monfort Alain, 1991.
"Qualitative threshold arch models,"
CEPREMAP Working Papers (Couverture Orange)
- 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.
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