Kim, Woocheol and Linton, Oliver (2011) Estimation of a semiparametric IGARCH (1,1) model. Econometric theory, 27 (3). pp. 639-661. ISSN 0266-4666
Abstract
We propose a semiparametric IGARCH model that allows for persistence in variance but also allows for more flexible functional form. We assume that the difference of the squared process is weakly stationary. We propose an estimation strategy based on the nonparametric instrumental variable method. We establish the rate of convergence of our estimator.
| Item Type: | Article |
|---|---|
| Official URL: | http://journals.cambridge.org/action/displayJourna... |
| Additional Information: | © 2010 Cambridge University Press |
| Library of Congress subject classification: | H Social Sciences > HB Economic Theory |
| Sets: | Departments > Economics Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD) Research centres and groups > Financial Markets Group (FMG) Collections > Economists Online |
| Rights: | http://www.lse.ac.uk/library/rights/LSERO.htm |
| URL: | http://eprints.lse.ac.uk/35760/ |
Actions (login required)
 |
Record administration - authorised staff only |
