Semiparametric estimation of conditional heteroscedasticity via single-index modeling

DOI10.5705/SS.2012.075OpenAlexW2156427463WikidataQ37512415 ScholiaQ37512415MaRDI QIDQ2844449FDOQ2844449

Authors: Yuexiao Dong, Li-Ping Zhu, Runze Li 

Publication date: 28 August 2013

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5705/ss.2012.075

zbMATH Keywords

heteroscedasticityvolatilitysingle-index modelconditional variance

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20)

Cited In (13)

• Efficient estimation in heteroscedastic single-index models
• Conditional median absolute deviation
• Averaging estimation for conditional covariance models
• Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models
• Nonparametric multiplicative heteroscedasticity in multi-dimensional regression
• Semi‐parametric Estimation in a Single‐index Model with Endogenous Variables
• Quasi-likelihood estimation of the single index conditional variance model
• Non parametric covariance model with circular condition and its application
• Nonparametric Tests for the Effect of a Treatment on the Conditional Variance
• On efficient dimension reduction with respect to a statistical functional of interest
• Structured Ultrahigh Dimensional Multiple-Index Models with Efficient Estimation in Computation And Theory
• An expectile computation cookbook
• Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model

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