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Modelling Nonlinearity and Long Memory in Time Series - (Now published in 'Nonlinear Dynamics and Time Series', C D Cutler and D T Kaplan (eds), Fields Institute Communications, 11...
Robinson, Peter M; Zaffaroni, Paolo - Suntory and Toyota International Centres for Economics … - 1997
noise, xt but a long memory . One such model which we describe is based on the long memory generalized ARCH model introduced …
Persistent link: https://www.econbiz.de/10005310367
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A Local Instrumental Variable Estimation Method for Generalized Additive Volatility Models
Kim, Woocheol; Linton, Oliver - Suntory and Toyota International Centres for Economics … - 2003
We investigate a new separable nonparametric model for time series, which includes many ARCH models and AR models …
Persistent link: https://www.econbiz.de/10005670792
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Estimating Semiparametric ARCH (8) Models by Kernel Smoothing Methods
Linton, Oliver; Mammen, Enno - Suntory and Toyota International Centres for Economics … - 2003
We investigate a class of semiparametric ARCH(8) models that includes as a special case the partially nonparametric …
Persistent link: https://www.econbiz.de/10005670800