A Local Instrumental Variable Estimation Method for Generalized Additive Volatility Models

We investigate a new separable nonparametric model for time series, which includes many ARCH models and AR models already discussed in the literature. We also propose a new estimation procedure based on a localization of the econometric method of instrumental variables. Our method has considerable computational advantages over the competing marginal integration or projection method

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Year of publication:	[2008]
Authors:	Kim, Woocheol
Other Persons:	Linton, Oliver B. (contributor)
Publisher:	[2008]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| ARCH-Modell \| ARCH model \| Volatilität \| Volatility \| Stochastischer Prozess \| Stochastic process \| Börsenkurs \| Share price

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Extent:	1 Online-Ressource (46 p)
Series:	LSE STICERD Research Paper ; No. EM456
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 2003 erstellt
Classification:	C16 - Specific Distributions ; C53 - Forecasting and Other Model Applications ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012771020