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Nonparametric estimation and forecasting for time-varying coefficient realized volatility models

Chen, Xiangjin B.; Gao, Jiti; Li, Degui; Silvapulle, … - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 1, pp. 88-100

Persistent link: https://www.econbiz.de/10011894402

Inference on the long-memory properties of time series with non-stationary volatility

Demetrescu, Matei; Sibbertsen, Philipp - In: Economics letters 144 (2016), pp. 80-84

Persistent link: https://www.econbiz.de/10011617209

Efficient Semi-Parametric Estimation of Non-Gaussian GARCH Processes

Godin, Frédéric - 2016

improved efficiency of FWLS estimators is illustrated in a simulation experiment; the estimation RMSE decreases observed by … Variance-Gamma innovations. The methodology is also shown to be applicable for the estimation of multivariate GARCH processes …

Persistent link: https://www.econbiz.de/10012978175

Locally stationary multiplicative volatility modeling

Walsh, Christopher; Vogt, Michael - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 2, pp. 497-508

Persistent link: https://www.econbiz.de/10014448258

Estimation and testing in a perturbed multivariate long memory framework

Less, Vivien; Sibbertsen, Philipp - 2022

We propose a semiparametric multivariate estimator and a multivariate score-type testing procedure under a perturbed multivariate fractional process. The estimator is based on the periodogram and uses a local Whittle criterion function which is generalised by an additional constant to capture...

Persistent link: https://www.econbiz.de/10014247836