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The live method for generalized additive volatility models

Kim, Woocheol and Linton, Oliver B. (2004) The live method for generalized additive volatility models. Econometric Theory, 20 (6). pp. 1094-1139. ISSN 1469-4360

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Identification Number: 10.1017/S026646660420603X


We investigate a new separable nonparametric model for time series, which includes many autoregressive conditional heteroskedastic (ARCH) models and autoregressive (AR) models already discussed in the literature. We also propose a new estimation procedure called LIVE, or local instrumental variable estimation, that is based on a localization of the classical instrumental variable method. Our method has considerable computational advantages over the competing marginal integration or projection method. We also consider a more efficient two-step likelihood-based procedure and show that this yields both asymptotic and finite-sample performance gains.

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Divisions: Financial Markets Group
Subjects: H Social Sciences > HB Economic Theory
Date Deposited: 17 Feb 2008
Last Modified: 04 Jan 2024 02:36

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