Modelling Conditional Heteroscedasticity in Nonstationary Series

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Abstract

To accommodate the inhomogenous character of financial time series over longer time periods, standard parametric models can be extended by allow- ing their coeffcients to vary over time. Focusing on conditional heteroscedas- ticity models, we discuss various strategies to identify and estimate varying- coefficients models and compare all methods by means of a real-data applica- tion.
Original languageEnglish
Place of PublicationTilburg
PublisherEconometrics
Number of pages31
Volume2010-84
Publication statusPublished - 2010

Publication series

NameCentER Discussion Paper
Volume2010-84

Keywords

  • adaptive estimation
  • conditional heteroscedasticity
  • varying-coefficient models
  • time series

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  • Cite this

    Cizek, P. (2010). Modelling Conditional Heteroscedasticity in Nonstationary Series. (CentER Discussion Paper; Vol. 2010-84). Econometrics.