EMPIRICAL-LIKELIHOOD-BASED CONFIDENCE INTERVALS FOR CONDITIONAL VARIANCE IN HETEROSKEDASTIC REGRESSION MODELS

DOI10.1017/S0266466610000150zbMath1401.62143MaRDI QIDQ3081463

Dabao Zhang, Ngai Hang Chan, Liang Peng

Publication date: 8 March 2011

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Nonparametric tolerance and confidence regions (62G15)

Related Items (8)

Local \(M\)-estimation for conditional variance function with dependent data ⋮ Empirical likelihood-based inference for nonparametric recurrent diffusions ⋮ Computational analysis of the behavior of stochastic volatility models with financial applications ⋮ Empirical Likelihood Intervals for Conditional Value-at-Risk in Heteroscedastic Regression Models ⋮ Empirical likelihood for break detection in time series ⋮ Volatility estimation in a nonlinear heteroscedastic functional regression model with martingale difference errors ⋮ MODEL-FREE INFERENCE FOR TAIL RISK MEASURES ⋮ Empirical likelihood for regression discontinuity design

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