SFB 303 Discussion Paper No. B-316

Author: Cron, Axel

Title: Uniform Consistency of Modified Kernel Estimators in Parametric ARCH-Models

Abstract: This paper shows the uniform convergence in probability of a modified kernel estimator towards the Baire function representing the conditional variance provided the data generating process is given by a strictly stationary solution of a parametric ARCH(q)-model.

Keywords: ARCH(q)-model,kernel estimation,nonparametric regression.

JEL-Classification-Number: C14, C22

Creation-Date: June 1995
URL: ../1995/b/bonnsfb316.pdf

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