Nonparametric Autoregression with Multiplicative Volatility and Additive Mean

Lijian Yang and Wolfgang Härdle

No 1996,62, SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Date: 1996
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Journal Article: Nonparametric Autoregression with Multiplicative Volatility and Additive mean (1999)
Working Paper: Nonparametric autoregression with multiplicative volatility and additive mean (1998)
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