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Adaptive Testing in ARCH Models
Linton, Oliver; Steigerwald, Douglas G. - Cowles Foundation for Research in Economics, Yale University - 1995
Existing specification tests for conditional heteroskedasticity are derived under the assumption that the density of the innovation, or standardized error, is Gaussian, despite the fact that many recent empirical studies provide evidence that this density is not Gaussian. We obtain specification...
Persistent link: https://www.econbiz.de/10005087404
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Let's get LADE : robust estimation of semiparametric multiplicative volatility models
Koo, Bonsoo; Linton, Oliver - 2013
We investigate a model in which we connect slowly time varying unconditional long-run volatility with short-run conditional volatility whose representation is given as a semi-strong GARCH (1,1) process with heavy tailed errors. We focus on robust estimation of both long-run and short-run...
Persistent link: https://www.econbiz.de/10009719116
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The shape of the risk premium: evidence from a semiparametric GARCH model
Linton, Oliver; Perron, Benoit - London School of Economics (LSE) - 2000
We examine the relationship between the risk premium on the S&P500 index total return and its conditional variance. We propose a new semiparametric model in which the conditional variance process is parametric, while the conditional mean is an arbitrary function of the conditional variance. For...
Persistent link: https://www.econbiz.de/10010745701
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Estimating semiparametric ARCH (8) models by kernel smoothing methods
Linton, Oliver; Mammen, Enno - London School of Economics (LSE) - 2003
We investigate a class of semiparametric ARCH(∞) models that includes as a special case the partially nonparametric …
Persistent link: https://www.econbiz.de/10011071447
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Averaging of moment condition estimators
Chen, Xiaohong; Jacho-Chàvez, David T.; Linton, Oliver - 2012
We establish the consistency and asymptotic normality for a class of estimators that are linear combinations of a set of √ n-consistent estimators whose cardinality increases with sample size. A special case of our framework corresponds to the conditional moment restriction and the implied...
Persistent link: https://www.econbiz.de/10010288299
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Nonparametric estimation of a polarization measure
Anderson, Gordon; Linton, Oliver; Whang, Yoon-Jae - 2009
This paper develops methodology for nonparametric estimation of a polarization measure due to Anderson (2004) and Anderson, Ge, and Leo (2006) based on kernel estimation techniques. We give the asymptotic distribution theory of our estimator, which in some cases is nonstandard due to a boundary...
Persistent link: https://www.econbiz.de/10010288407
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Nonparametric estimation of a polarization measure
Anderson, Gordon; Linton, Oliver; Whang, Yoon-jae - 2009
This paper develops methodology for nonparametric estimation of a polarization measure due to Anderson (2004) and Anderson, Ge, and Leo (2006) based on kernel estimation techniques. We give the asymptotic distribution theory of our estimator, which in some cases is nonstandard due to a boundary...
Persistent link: https://www.econbiz.de/10003847572
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Averaging of moment condition estimators
Chen, Xiaohong; Jacho-Chàvez, David T.; Linton, Oliver - 2012
We establish the consistency and asymptotic normality for a class of estimators that are linear combinations of a set of √n– consistent estimators whose cardinality increases with sample size. A special case of our framework corresponds to the conditional moment restriction and the implied...
Persistent link: https://www.econbiz.de/10009620338
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A quantilogram approach to evaluating directional predictability
Linton, Oliver; Whang, Yoon-Jae - London School of Economics (LSE) - 2003
In this note we propose a simple method of measuring directional predictability and testing for the hypothesis that a … given time series has no directional predictability. The test is based on the correlogram of quantile hits. We provide the … stock index return data. The empirical results suggest some directional predictability in returns, especially in mid …
Persistent link: https://www.econbiz.de/10010928727
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Semiparametric regression analysis under imputation for missing response data
Hardle, Wolfgang; Linton, Oliver; Wang, Qihua - London School of Economics (LSE) - 2003
We develop inference tools in a semiparametric regression model with missing response data. A semiparametric regression imputation estimator, a marginal average estimator and a (marginal) propensity score weighted estimator are defined. All the estimators are proved to be asymptotically normal,...
Persistent link: https://www.econbiz.de/10010928736