Kim, W. and Linton, O.
Estimation of a semiparametric IGARCH(1,1) model
Econometric Theory
Vol. 27(3) pp. 639-661 (2011)
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.
JEL Codes: C14
Author links: Oliver Linton
Publisher's Link: http://journals.cambridge.org/action/displayAbstract?fromPage=online&aid=8281714 
