Estimation of a semiparametric IGARCH (1,1) model
Kim, W. & Linton, O.
(2011).
Estimation of a semiparametric IGARCH (1,1) model.
Econometric Theory,
27(3), 639-661.
https://doi.org/10.1017/S0266466610000435
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 |
|---|---|
| Copyright holders | © 2010 Cambridge University Press |
| Departments |
LSE > Academic Departments > Economics LSE > Research Centres > STICERD LSE > Research Centres > Financial Markets Group |
| DOI | 10.1017/S0266466610000435 |
| Date Deposited | 03 May 2011 |
| URI | https://researchonline.lse.ac.uk/id/eprint/35760 |
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