{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,6,5]],"date-time":"2026-06-05T23:58:41Z","timestamp":1780703921487,"version":"3.54.1"},"reference-count":42,"publisher":"Cambridge University Press (CUP)","issue":"4","license":[{"start":{"date-parts":[[2014,11,5]],"date-time":"2014-11-05T00:00:00Z","timestamp":1415145600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2015,8]]},"abstract":"<jats:p>We investigate a model in which we connect slowly time varying unconditional long-run volatility with short-run conditional volatility whose representation is given as a semi-strong GARCH(1,1) process with heavy tailed errors. We focus on robust estimation of both long-run and short-run volatilities. Our estimation is semiparametric since the long-run volatility is totally unspecified whereas the short-run conditional volatility is a parametric semi-strong GARCH(1,1) process. We propose different robust estimation methods for nonstationary and strictly stationary GARCH parameters with nonparametric long-run volatility function. Our estimation is based on a two-step LAD procedure. We establish the relevant asymptotic theory of the proposed estimators. Numerical results lend support to our theoretical results.<\/jats:p>","DOI":"10.1017\/s0266466614000516","type":"journal-article","created":{"date-parts":[[2014,11,5]],"date-time":"2014-11-05T09:49:54Z","timestamp":1415180994000},"page":"671-702","source":"Crossref","is-referenced-by-count":5,"title":["LET\u2019S GET LADE: ROBUST ESTIMATION OF SEMIPARAMETRIC MULTIPLICATIVE VOLATILITY MODELS"],"prefix":"10.1017","volume":"31","author":[{"given":"Bonsoo","family":"Koo","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Oliver","family":"Linton","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2014,11,5]]},"reference":[{"key":"S0266466614000516_ref13","doi-asserted-by":"crossref","first-page":"909","DOI":"10.2307\/2951767","article-title":"Temporal aggregation of GARCH 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