Tilted nonparametric estimation of volatility functions with empirical applications

• Main Authors: XU, Ke-Li, PHILLIPS, Peter C. B.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2011
• Subjects: Conditional heteroscedasticity; Conditional variance function; Empirical likelihood; Heteroscedastic nonparametric regression; Jump diffusion; Local linear estimator; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/1976; https://ink.library.smu.edu.sg/context/soe_research/article/2975/viewcontent/TitledNonparametricEstVolatilityFunctions_2010_pp.pdf
• Institution: Singapore Management University

This article proposes a novel positive nonparametric estimator of the conditional variance function without reliance on logarithmic or other transformations. The estimator is based on an empirical likelihood modification of conventional local-level nonparametric regression applied to squared residua...