Local instrumental variable method for the generalized additive-interactive nonlinear volatility model estimation

DOI10.1017/S0266466611000363MaRDI QIDQ2890707zbMATH OpenOpenAlexFDO

Authors Michael Levine, Jinguang Li

Publication date 11 June 2012

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466611000363

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

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• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 47282 (Why is no real title available?)
• scientific article; zbMATH DE number 148768 (Why is no real title available?)
• Linear smoothers and additive models
• MULTIVARIATE LOCAL POLYNOMIAL REGRESSION FOR TIME SERIES:UNIFORM STRONG CONSISTENCY AND RATES
• Multivariate regression estimation: Local polynomial fitting for time series
• Nonparametric Autoregression with Multiplicative Volatility and Additive mean
• NONPARAMETRIC ESTIMATION AND TESTING OF INTERACTION IN ADDITIVE MODELS
• Quadratic ARCH Models
• THE LIVE METHOD FOR GENERALIZED ADDITIVE VOLATILITY MODELS
• The use of polynomial splines and their tensor products in multivariate function estimation. (With discussion)

Cited in

(1)

• THE LIVE METHOD FOR GENERALIZED ADDITIVE VOLATILITY MODELS

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