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Estimating semiparametric ARCH (∞) models by kernel smoothing methods

Linton, Oliver and Mammen, Enno (2003) Estimating semiparametric ARCH (∞) models by kernel smoothing methods. Econometrics (EM/2003/453). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

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Abstract

We investigate a class of semiparametric ARCH(∞) models that includes as a special case the partially nonparametric (PNP) model introduced by Engle and Ng (1993) and which allows for both flexible dynamics and flexible function form with regard to the 'news impact' function. We propose an estimation method that is based on kernel smoothing and profiled likelihood. We establish the distribution theory of the parametric components and the pointwise distribution of the nonparametric component of the model. We also discuss efficiency of both the parametric and nonparametric part. We investigate the performance of our procedures on simulated data and on a sample of S&P500 daily returns. We find some evidence of asymmetric news impact functions in the data.

Item Type: Monograph (Report)
Official URL: http://sticerd.lse.ac.uk/
Additional Information: © 2003 The Authors
Divisions: STICERD
Subjects: H Social Sciences > HB Economic Theory
Sets: Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Date Deposited: 22 Jul 2014 08:20
Last Modified: 26 Jul 2020 23:52
Projects: M1026/6-2
Funders: Humboldt Universität zu Berlin
URI: http://eprints.lse.ac.uk/id/eprint/58068

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