Local polynomial estimation with a FARIMA-GARCH error process
By Jan Beran, Yuanhua Feng. 2001
47 citations recorded by the source corpus.
Subfields: Finance, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/136358eac9233c68ff19ee4174bda9e3cbbfbaac
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- S. Ling
- Michael Mcaleer
- Wai Keung Li
- K. Zhu
- Christian Francq
- Jean-Michel Zakoian
- Guodong Li
- Bernardo da Veiga
In Statistics and Probability
- Michael Mcaleer
- Tatyana Krivobokova
- S. Ling
- Guodong Li
- Wai Keung Li
- Goeran Kauermann
- Christian Francq
- Jean-Michel Zakoian
Citations in the corpus
- A Note on Penalized Spline Smoothing With Correlated Errors (2007, methodology): “This has been demonstrated by, among others, Wang (1998) for spline smoothing and Altman (1990), Hart (1991), Beran and Feng (2001), and Ray and Tsay (1997) for local smoothing.”
- A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors (2001, background): “More recently, Beran and Feng (1999) considered local polynomial estimation of a fractional ARIMA model similar to the above.”
- Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity (2008, background): “As an extension of Ling and Li (1997), Beran and Feng (2001) considered the local polynomial estimation of semiparameteric models with an ARFIMA-GARCH error but the condition, Eε4t ∞, was also required.”