Title of article :
Conditional variance estimation in heteroscedastic regression models
Author/Authors :
Chen، نويسنده , , Lu-Hung and Cheng، نويسنده , , Ming-Yen and Peng، نويسنده , , Liang، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2009
Pages :
10
From page :
236
To page :
245
Abstract :
First, we propose a new method for estimating the conditional variance in heteroscedasticity regression models. For heavy tailed innovations, this method is in general more efficient than either of the local linear and local likelihood estimators. Secondly, we apply a variance reduction technique to improve the inference for the conditional variance. The proposed methods are investigated through their asymptotic distributions and numerical performances.
Keywords :
Local likelihood estimation , Local linear estimation , variance reduction , Volatility , Log-transformation , Conditional variance
Journal title :
Journal of Statistical Planning and Inference
Serial Year :
2009
Journal title :
Journal of Statistical Planning and Inference
Record number :
2219787
Link To Document :
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