NONLINEAR TIME SERIES SEMIPARAMETRIC AND NONPARAMETRIC METHODS

By LINDA CLARK

CONTENTS INTRODUCTION PRELIMINARIES EXAMPLES AND MODELS BIBLIOGRAPHICAL NOTES ESTIMATION IN NONLINEAR TIME SERIES SEMIPARAMETRIC SERIES ESTIMATION SEMIPARAMETRIC KERNEL ESTIMATION SEMIPARAMETRIC SINGLE–INDEX ESTIMATION TECHNICAL NOTES NONLINEAR TIME SERIES SPECI?CATION TESTING FOR PARAMETRIC MEAN MODELS TESTING FOR SEMIPARAMETRIC VARIANCE MODELS TESTING FOR OTHER SEMIPARAMETRIC MODELS MODEL SELECTION IN NONLINEAR TIME SERIES SEMIPARAMETRIC CROSS–VALIDATION METHOD SEMIPARAMETRIC PENALTY FUNCTION METHOD EXAMPLES AND APPLICATIONS CONTINUOUS–TIME DI?USION MODELS NONPARAMETRIC AND SEMIPARAMETRIC ESTIMATION SEMIPARAMETRIC SPECI?CATION EMPIRICAL COMPARISONS LONG–RANGE DEPENDENT TIME SERIES INTRODUCTORY RESULTS GAUSSIAN SEMIPARAMETRIC ESTIMATION SIMULTANEOUS SEMIPARAMETRIC ESTIMATION LRD STOCHASTIC VOLATILITY MODELS