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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

Abstract

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.

Item Type: Article
Official URL: http://uk.cambridge.org/journals/ect/
Additional Information: Copyright © 2004 Cambridge University Press. LSE has developed LSE Research Online so that users may access research output of the School. Copyright © and Moral Rights for the papers on this site are retained by the individual authors and/or other copyright owners. Users may download and/or print one copy of any article(s) in LSE Research Online to facilitate their private study or for non-commercial research. You may not engage in further distribution of the material or use it for any profit-making activities or any commercial gain. You may freely distribute the URL (http://eprints.lse.ac.uk) of the LSE Research Online website.
Divisions: Financial Markets Group
STICERD
Economics
Subjects: H Social Sciences > HB Economic Theory
Date Deposited: 17 Feb 2008
Last Modified: 04 Jan 2024 02:36
URI: http://eprints.lse.ac.uk/id/eprint/321

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