頁籤選單縮合
題 名 | Single-Index Volatility Models and Estimation |
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作 者 | Xia,Yingcun; Tong,Howell; Li,W. K.; | 書刊名 | Statistica Sinica |
卷 期 | 12:3 2002.07[民91.07] |
頁 次 | 頁785-799 |
分類號 | 319.5 |
關鍵詞 | ARCH; Conditional variance; Local linear smoother; Order determination; |
語 文 | 英文(English) |
英文摘要 | We develop a single-index volatility model in this paper. A new method is proposed to estimate the single-index coefficient and the link function. Unlike most existing estimation methods for semiparametric models, root-n consistency of the single-index coefficient can be achieved by our method without under-smoothing the unknown function. A Lagrange-multiplier type test is employed to determine the order of the model. Some simulations and applications to real data are included. |
本系統中英文摘要資訊取自各篇刊載內容。