• 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