@techreport{a5a7b05f5f1f46ed8ce85ad577d40761,
title = "Modelling Conditional Heteroscedasticity in Nonstationary Series",
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.",
keywords = "adaptive estimation, conditional heteroscedasticity, varying-coefficient models, time series",
author = "P. Cizek",
note = "Subsequently published in Statistical Tools for Finance and Insurance (book), 2011 Pagination: 31",
year = "2010",
language = "English",
volume = "2010-84",
series = "CentER Discussion Paper",
publisher = "Econometrics",
type = "WorkingPaper",
institution = "Econometrics",
}