SFB 303 Discussion Paper No. B - 318

Author: Cron, Axel
Title: Uniform Consistency of Modified Kernel Estimators in Nonparametric Multivariate VARCH-Models
Abstract: This paper shows the uniform convergence in probability of modified kernel estimators towards the Baire functions representing the conditional variances and contemporaneous conditional covariances provided the data generating process is given by a strictly stationary solution of a nonparametric multivariate VARCH(q,m)-model.
Keywords: VARCH-model, kernel estimation, nonparametric regression
JEL-Classification-Number: C14, C22
Creation-Date: July 1995
URL: ../1995/b/bonnsfb318.pdf

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