Estimation of a Semiparametric IGARCH(1,1) Model

We propose a semiparametric IGARCH model that allows for persistence in variance but also allows for more flexible functional form. We assume that the difference of the squared process is weakly stationary. We propose an estimation strategy based on the nonparametric instrumental variable method. We establish the rate of convergence of our estimator

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Year of publication:	2010
Authors:	Kim, Woocheol
Other Persons:	Linton, Oliver B. (contributor)
Publisher:	[2010]: [S.l.] : SSRN
Subject:	Regressionsanalyse \| Regression analysis \| ARCH-Modell \| ARCH model \| Core \| Schätztheorie \| Estimation theory \| IV-Schätzung \| Instrumental variables

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Extent:	1 Online-Ressource (33 p)
Series:	LSE STICERD Research Paper ; No. EM539
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 2009 erstellt
Classification:	C14 - Semiparametric and Nonparametric Methods
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013148177