Local Polynomial Estimators of the Volatility Function in Nonparametric Autoregression
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|Date of creation:||1995|
|Contact details of provider:|| Postal: Spandauer Str. 1,10178 Berlin|
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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 107-115, January.
- Gourieroux, Christian & Monfort, Alain, 1992. "Qualitative threshold ARCH models," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 159-199.
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