• Deprecated function: date_create(): Passing null to parameter #1 ($datetime) of type string is deprecated in Drupal\olamalu_janeway\Controller\JanewayPublishedPaperController->getPublicationData() (line 60 of modules/custom/olamalu_janeway/src/Controller/JanewayPublishedPaperController.php).
    Drupal\olamalu_janeway\Controller\JanewayPublishedPaperController->getPublicationData('1149')
call_user_func_array(Array, Array) (Line: 123)
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  • Deprecated function: explode(): Passing null to parameter #2 ($string) of type string is deprecated in Drupal\olamalu_janeway\Controller\JanewayPublishedPaperController->getPublicationData() (line 65 of modules/custom/olamalu_janeway/src/Controller/JanewayPublishedPaperController.php).
    Drupal\olamalu_janeway\Controller\JanewayPublishedPaperController->getPublicationData('1149')
call_user_func_array(Array, Array) (Line: 123)
Drupal\Core\EventSubscriber\EarlyRenderingControllerWrapperSubscriber->Drupal\Core\EventSubscriber\{closure}() (Line: 627)
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Drupal\Core\EventSubscriber\EarlyRenderingControllerWrapperSubscriber->wrapControllerExecutionInRenderContext(Array, Array) (Line: 97)
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  • Deprecated function: explode(): Passing null to parameter #2 ($string) of type string is deprecated in Drupal\olamalu_janeway\Controller\JanewayPublishedPaperController->getPublicationData() (line 67 of modules/custom/olamalu_janeway/src/Controller/JanewayPublishedPaperController.php).
    Drupal\olamalu_janeway\Controller\JanewayPublishedPaperController->getPublicationData('1149')
call_user_func_array(Array, Array) (Line: 123)
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Drupal\Core\Render\Renderer->executeInRenderContext(Object, Object) (Line: 121)
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Drupal\Core\DrupalKernel->handle(Object) (Line: 19)

Let's get lade: robust estimation of semiparametric multiplicative volatility models

Sunday 28th April 2024
Econometric Theory
Koo, B., and Linton, O.
We investigate a model in which we connect slowly time varying unconditional long-run volatility with short-run conditional volatility whose representation is given as a semi-strong GARCH(1,1) process with heavy tailed errors. We focus on robust estimation of both long-run and short-run volatilities. Our estimation is semiparametric since the long-run volatility is totally unspecified whereas the short-run conditional volatility is a parametric semi-strong GARCH(1,1) process. We propose different robust estimation methods for nonstationary and strictly stationary GARCH parameters with nonparametric long-run volatility function. Our estimation is based on a two-step LAD procedure. We establish the relevant asymptotic theory of the proposed estimators. Numerical results lend support to our theoretical results.
Keywords
Themes
empirical
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