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Local Polynomial Estimation with a FARIMA-GARCH Error Process

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  • Beran, Jan
  • Feng, Yuanhua

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  • Beran, Jan & Feng, Yuanhua, 1999. "Local Polynomial Estimation with a FARIMA-GARCH Error Process," CoFE Discussion Papers 99/08, University of Konstanz, Center of Finance and Econometrics (CoFE).
    • Handle: RePEc:zbw:cofedp:9908
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    References listed on IDEAS

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    1. Beran, Jan & Ocker, Dirk, 1999. "Volatility of Stock Market Indices - An Analysis based on SEMIFAR Models," CoFE Discussion Papers 99/14, University of Konstanz, Center of Finance and Econometrics (CoFE).
    2. Beran, Jan, 1999. "SEMIFAR Models - A Semiparametric Framework for Modelling Trends, Long Range Dependence and Nonstationarity," CoFE Discussion Papers 99/16, University of Konstanz, Center of Finance and Econometrics (CoFE).
    3. Hall, Peter & Hart, Jeffrey D., 1990. "Nonparametric regression with long-range dependence," Stochastic Processes and their Applications, Elsevier, vol. 36(2), pages 339-351, December.
    4. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    5. Beran, Jan & Feng, Yuanhua & Franke, Günter & Hess, Dieter & Ocker, Dirk, 1999. "SEMIFAR Models, with Applications to Commodities, Exchange Rates and the Volatility of Stock Market Indices," CoFE Discussion Papers 99/18, University of Konstanz, Center of Finance and Econometrics (CoFE).
    6. Hosking, Jonathan R. M., 1996. "Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series," Journal of Econometrics, Elsevier, vol. 73(1), pages 261-284, July.
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    Cited by:

    1. W. K. Li & Shiqing Ling & Michael McAleer, 2001. "A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors," ISER Discussion Paper 0545, Institute of Social and Economic Research, Osaka University.

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