Nonparametric estimation of the conditional variance function with correlated errors
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Nonparametric estimation of the conditional variance function with correlated errorsFecha
2006Cita bibliográfica
Journal of nonparametric statistics, vol. 18 (2006), n. 4-6, pp. 375-391.
Palabras clave
Autoregressive process
Heterocedasticity
Local polynomials
Volatility
Heterocedasticity
Local polynomials
Volatility
Versión del editor
Derechos
This is a preprint of an article submitted for consideration in the Journal of nonparametric statistics © 2006 copyright Taylor & Francis ; Journal of nonparametric statistics is available online at: http://www.informaworld.com/
ISSN
1048-5252