Modelling Conditional Heteroscedasticity in Nonstationary Series

To accommodate the inhomogenous character of financial time series over longer time periods, standard parametric models can be extended by allow- ing their coeffcients to vary over time. Focusing on conditional heteroscedas- ticity models, we discuss various strategies to identify and estimate varying- coefficients models and compare all methods by means of a real-data applica- tion.

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Year of publication:	2010
Authors:	Cizek, Pavel
Institutions:	Tilburg University, Center for Economic Research
Subject:	adaptive estimation \| conditional heteroscedasticity \| varying-coefficient models \| time series

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Extent:	application/pdf
Series:	Discussion Paper.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series CentER Discussion Paper Number 2010-84
Classification:	C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models ; C53 - Forecasting and Other Model Applications
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011091403