Kim, Woocheol and Linton, Oliver (2003) A local instrumental variable estimation method for generalized additive volatility models. Econometrics; EM/2003/456, EM/2003/456. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.
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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.
|Item Type:||Monograph (Discussion Paper)|
|Additional Information:||© 2003 the authors|
|Uncontrolled Keywords:||ARCH, kernel estimation, nonparametric, volatility|
|Library of Congress subject classification:||H Social Sciences > HB Economic Theory|
|Sets:||Research centres and groups > Financial Markets Group (FMG)
Collections > Economists Online
Departments > Economics
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
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