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