A least squares estimation approach for the estimation of a GARCH (1,1) modelis developed. The asymptotic properties of the estimator are studied given mild regularity conditions, which require only that the error term has a conditionalmomen t of some order. We establish the consistency,...

In this paper we consider the nonparametric estimation for a density and hazard rate function for right censored -mixing survival time data using kernel smoothing techniques. Since survival times are positive with potentially a high concentration at zero, one has to take into account the bias...

This paper investigates the asymptotic theory for a factor GARCH model. Sufficient conditions for strict stationarity, existence of certain moments, geometric ergodicity and - mixing with exponential decay rates are established. These conditions allow for volatility spill-over and integrated...