Semiparametric Estimator of Time Series Conditional Variance
We propose a new combined semiparametric estimator, which incorporates the parametric and nonparametric estimators of the conditional variance in a multiplicative way. We derive the asymptotic bias, variance, and normality of the combined estimator under general conditions. We show that under correc...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2010
|
| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/356 https://ink.library.smu.edu.sg/context/soe_research/article/1355/viewcontent/Semiparametric_Estimator_of_Time_Series_Conditional_Variance.pdf |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Singapore Management University |
| Language: | English |