Long, Xiangdong; Su, Liangjun; Ullah, Aman - Department of Economics, University of California-Riverside - 2009
We propose a semiparametric conditional covariance (SCC) estimator that combines the ï¬rst-stage parametric conditional covariance (PCC) estimator with the second-stage nonparametric correction estimator in a multiplicative way. We prove the asymptotic normality of our SCC estimator, propose a...
