Sayar Karmakar, Stefan Richter, Wei Biao Wu
arXiv 26 Nov 2020 · Mathematics — Statistics Theory · publishedJournal of Econometrics (2021) · 3 citations (OpenAlex)
arXiv:2011.13157 · PDF · DOI · OpenAlex · Extracted main text
A general class of time-varying regression models is considered in this paper. We estimate the regression coefficients by using local linear M-estimation. For these estimators, weak Bahadur representations are obtained and are used to construct simultaneous confidence bands. For practical implementation, we propose a bootstrap based method to circumvent the slow logarithmic convergence of the theoretical simultaneous bands. Our results substantially generalize and unify the treatments for several time-varying regression and auto-regression models. The performance for ARCH and GARCH models is studied in simulations and a few real-life applications of our study are presented through analysis of some popular financial datasets.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | barticle[author] Zhou, ZhouZ. Wu, Wei BiaoW. B (2010) ) self | 0.843 | 5 | 3 | 60% |
| 2 | barticle[author] Rohan, NeelabhN. Ramanathan, T. V.T. V (2013) ) | 0.843 | 3 | 3 | 100% |
| 3 | barticle[author] Fryzlewicz, PiotrP., Sapatinas, TheofanisT. Subba R… (2008) a) | 0.811 | 4 | 2 | 100% |
| 4 | barticle[author] Richter, S.S. Dahlhaus, R.R (2017) ) | 0.811 | 4 | 2 | 100% |
| 5 | barticle[author] Bollerslev, TimT (1986) ) | 0.737 | 3 | 2 | 100% |
| 6 | barticle[author] Fryzlewicz, PiotrP., Sapatinas, TheofanisT. Subba R… (2008) b) | 0.737 | 3 | 2 | 100% |
| 7 | barticle[author] Wu, Wei BiaoW. B. Zhou, ZhouZ (2011) ) | 0.511 | 3 | 2 | 33% |
| 8 | barticle[author] Dahlhaus, RainerR. Polonik, WolfgangW (2009) ) | 0.511 | 3 | 2 | 33% |
| 9 | barticle[author] Dahlhaus, RainerR. Subba Rao, SuhasiniS (2006) ) | 0.511 | 2 | 1 | 100% |
| 10 | barticle[author] Hoover, Donald R.D. R., Rice, John A.J. A., Wu, Col… (1998) ) | 0.511 | 2 | 1 | 100% |
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