Conditional variance estimation in heteroscedastic regression models |
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Authors: | Lu-Hung Chen Ming-Yen Cheng Liang Peng |
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Affiliation: | 1. Department of Mathematics, National Taiwan University, No. 1, Sec. 4, Roosevelt Road, Taipei 106, Taiwan;2. School of Mathematics, Georgia Institute of Technology, Atlanta, GA 30332-0160, USA |
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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. |
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Keywords: | Conditional variance Local likelihood estimation Local linear estimation Log-transformation Variance reduction Volatility |
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