Nonparametric estimation of volatility models with serially dependent innovations
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Cited by:
- Brandan K. Beare, 2008. "Unit Root Testing with Unstable Volatility," Economics Series Working Papers 2008-WO6, University of Oxford, Department of Economics.
- Dalla, Violetta & Giraitis, Liudas & Robinson, Peter M., 2020. "Asymptotic theory for time series with changing mean and variance," Journal of Econometrics, Elsevier, vol. 219(2), pages 281-313.
- Brendan K. Beare, 2018.
"Unit Root Testing with Unstable Volatility,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 816-835, November.
- Brendan K. Beare, 2008. "Unit Root Testing with Unstable Volatility," Economics Papers 2008-W06, Economics Group, Nuffield College, University of Oxford.
- Dahl Christian M & Iglesias Emma, 2011.
"Modeling the Volatility-Return Trade-Off When Volatility May Be Nonstationary,"
Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-32, February.
- Christian M. Dahl & Emma M. Iglesias, 2009. "Modelling the Volatility-Return Trade-off when Volatility may be Nonstationary," CREATES Research Papers 2009-59, Department of Economics and Business Economics, Aarhus University.
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Keywords
Weak form volatility models Nonparametric/Semiparametric estimation Asymptotics;Statistics
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