Identification non paramétrique d’un processus non linéaire hétéroscédastique
[Nonparametric identification of heteroscedastic nonlinear process]
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References listed on IDEAS
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More about this item
Keywords
Final Prediction Error; kernel; bandwidth; functional autoregressive process.;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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