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ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING
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- Journal:
- Econometric Theory / Volume 32 / Issue 4 / August 2016
- Published online by Cambridge University Press:
- 13 April 2015, pp. 861-916
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TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS
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- Econometric Theory / Volume 29 / Issue 6 / December 2013
- Published online by Cambridge University Press:
- 06 August 2013, pp. 1238-1288
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UNIFORM CONVERGENCE RATES OF KERNEL ESTIMATORS WITH HETEROGENEOUS DEPENDENT DATA
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- Journal:
- Econometric Theory / Volume 25 / Issue 5 / October 2009
- Published online by Cambridge University Press:
- 01 October 2009, pp. 1433-1445
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NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH
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- Econometric Theory / Volume 26 / Issue 1 / February 2010
- Published online by Cambridge University Press:
- 19 June 2009, pp. 60-93
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A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL
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- Econometric Theory / Volume 22 / Issue 2 / April 2006
- Published online by Cambridge University Press:
- 09 February 2006, pp. 323-337
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ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
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- Journal:
- Econometric Theory / Volume 21 / Issue 5 / October 2005
- Published online by Cambridge University Press:
- 22 August 2005, pp. 946-961
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03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation—Solution
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- Econometric Theory / Volume 20 / Issue 5 / October 2004
- Published online by Cambridge University Press:
- 01 October 2004, pp. 990-993
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03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation
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- Journal:
- Econometric Theory / Volume 19 / Issue 5 / October 2003
- Published online by Cambridge University Press:
- 01 October 2003, pp. 879-880
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