Local Polynomial Estimators of the Volatility Function in Nonparametric Autoregression
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|Date of creation:||1995|
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Web page: http://www.wiwi.hu-berlin.de/
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- Gourieroux, Christian & Monfort, Alain, 1992.
"Qualitative threshold ARCH models,"
Journal of Econometrics,
Elsevier, vol. 52(1-2), pages 159-199.
- 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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