Koo, Bonsoo; Linton, Oliver - 2013
robust estimation of both long-run and short-run volatilities. Our estimation is semiparametric since the long-run volatility … propose different robust estimation methods for nonstationary and strictly stationary GARCH parameters with nonparametric long … run volatility function. Our estimation is based on a two-step LAD procedure. We establish the relevant asymptotic theory …