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Estimation of a semiparametric IGARCH (1,1) model

Kim, Woocheol and Linton, Oliver (2011) Estimation of a semiparametric IGARCH (1,1) model. Econometric Theory, 27 (3). pp. 639-661. ISSN 0266-4666

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Identification Number: 10.1017/S0266466610000435

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
Subjects: 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
Date Deposited: 03 May 2011 09:19
Last Modified: 30 Aug 2013 12:33
URI: http://eprints.lse.ac.uk/id/eprint/35760

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