skip to content

Faculty of Economics

Journal Cover

Linton, O. and Yan, Y.

Semi- and nonparametric ARCH processes

Journal of Probability and Statistics

Abstract: ARCH/GARCH modelling has been successfully applied in empirical finance for many years. This paper surveys the semiparametric and nonparametric methods in univariate and multivariate ARCH/GARCH models. First, we introduce some specific semiparametric models and investigate the semiparametric and nonparametrics estimation techniques applied to: the error density, the functional form of the volatility function, the relationship between mean and variance, long memory processes, locally stationary processes, continuous time processes and multivariate models. The second part of the paper is about the general properties of such processes, including stationary conditions, ergodic conditions and mixing conditions. The last part is on the estimation methods in ARCH/GARCH processes.

JEL Codes: C14

Author links: Oliver Linton  

Publisher's Link: http://www.hindawi.com/journals/jps/2011/906212/



Papers and Publications



Recent Publications


Fruehwirth, J., Iyer, S. and Zhang, A. Religion and Depression in Adolescence Journal of Political Economy, forthcoming [2019]

Onatski, A. and Wang, C. Alternative Asymptotics for Cointegration Tests in Large VARs Econometrica [2018]

Faraglia, E., Marcet, A., Oikonomou, R. and Scott, A. Government Debt management: the Short and the Long of it Review of Economic Studies, accepted [2018]