Quasi-likelihood estimation of the single index conditional variance model

DOI10.1016/J.CSDA.2018.06.008MaRDI QIDQ1796931zbMATH OpenOpenAlexWikidataFDO

Authors Hong-Fan Zhang

Publication date 17 October 2018

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2018.06.008

zbMATH Keywords

heteroscedasticityquasi-likelihoodsingle index modelconditional variance

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08)

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Cited in

(3)

• High-dimensional index volatility models via Stein's identity
• scientific article; zbMATH DE number 1833046 (Why is no real title available?)
• The profile likelihood estimation for single-index ARCH(\(p\))-M model

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