Table of Contents
INTRODUCTION
Preliminaries
Examples and models
Bibliographic notes

ESTIMATION IN NONLINEAR TIME SERIES
Introduction
Semiparametric series estimation
Semiparametric kernel estimation
Semiparametric single-index estimation
Technical notes
Bibliographical notes

NONLINEAR TIME SERIES SPECIFICATION
Introduction
Testing for parametric mean models
Testing for semiparametric variance models
Testing for other semiparametric models
Technical notes
Bibliographical notes

MODEL SELECTION IN NONLINEAR TIME SERIES
Introduction
Semiparametric cross-validation method
Semiparametric penalty function method
Examples and applications
Technical notes
Bibliographical notes

CONTINUOUS-TIME DIFFUSION MODELS
Introduction
Nonparametric and semiparametric estimation
Semiparametric specification
Empirical comparisons
Technical notes
Bibliographical notes

LONG-RANGE DEPENDENT TIME SERIES
Introductory results
Gaussian semiparametric estimation
Simultaneous semiparametric estimation
LRD stochastic volatility models
Technical notes
Bibliographical notes

APPENDIX
Technical lemmas
Asymptotic normality and expansions

REFERENCES
AUTHOR INDEX
SUBJECT INDEX