Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model

This paper considers a semiparametric generalized autoregressive conditional heteroskedasticity (S-GARCH) model. For this model, we first estimate the time-varying long run component for unconditional variance by the kernel estimator, and then estimate the non-time-varying parameters in GARCH-type s...

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Veröffentlicht in:	Journal of econometrics 2021-10, Vol.224 (2), p.306-329
Hauptverfasser:	Jiang, Feiyu, Li, Dong, Zhu, Ke
Format:	Artikel
Sprache:	eng
Schlagworte:	Adaptive inference Asymptotic methods Convergence Estimating techniques Lagrange multiplier test Maximum likelihood method Portmanteau test QMLE Semiparametric BEKK model Semiparametric GARCH model Statistical inference Studies Variance analysis
Online-Zugang:	Volltext
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