SEMIPARAMETRIC ARCH MODELS

被引：214

|

作者：

ENGLE, RF

GONZALEZRIVERA, G

机构：

来源：

JOURNAL OF BUSINESS & ECONOMIC STATISTICS | 1991年 / 9卷 / 04期

关键词：

LINEAR SPLINE; NONPARAMETRIC DENSITY; QUASI-MAXIMUM LIKELIHOOD ESTIMATION;

D O I：

10.2307/1391236

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

引用

收藏

页码：345 / 359

页数：15

相关论文

共 50 条

[1] BAYESIAN SEMIPARAMETRIC ARCH MODELS
KOOP, G
[J]. REVIEW OF ECONOMICS AND STATISTICS, 1994, 76 (01) : 176 - 181
[2] Semiparametric ARCH models: An estimating function approach
Li, DX
Turtle, HJ
[J]. JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2000, 18 (02) : 174 - 186
[3] Estimating semiparametric ARCH(∞) models by kernel smoothing methods
Linton, O
Mammen, E
[J]. ECONOMETRICA, 2005, 73 (03) : 771 - 836
[4] Nonparametric and semiparametric models
Little, MP
[J]. JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES A-STATISTICS IN SOCIETY, 2005, 168 : 874 - 875
[5] Semiparametric transition models
Cizek, Pavel
Koo, Chao Hui
[J]. ECONOMETRIC REVIEWS, 2022, 41 (04) : 400 - 415
[6] Semiparametric duration models
Drost, FC
Werker, BJM
[J]. JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2004, 22 (01) : 40 - 50
[7] A REMARK ON SEMIPARAMETRIC MODELS
PFANZAGL, J
[J]. JOURNAL OF MULTIVARIATE ANALYSIS, 1986, 19 (01) : 183 - 188
[8] Semiparametric multivariate volatility models
Hafner, Christian M.
Rombouts, Jeroen V. K.
[J]. ECONOMETRIC THEORY, 2007, 23 (02) : 251 - 280
[9] Adaptive Semiparametric Language Models
Yogatama, Dani
d'Autume, Cyprien de Masson
Kong, Lingpeng
[J]. TRANSACTIONS OF THE ASSOCIATION FOR COMPUTATIONAL LINGUISTICS, 2021, 9 (09) : 362 - 373
[10] SEMIPARAMETRIC REGRESSION AND GRAPHICAL MODELS
Wand, M. P.
[J]. AUSTRALIAN & NEW ZEALAND JOURNAL OF STATISTICS, 2009, 51 (01) : 9 - 41

← 1 2 3 4 5 →