A local instrumental estimation method for generalized additive volatility models

Woocheol Kim; Oliver Linton

We investigate a new separable nonparametric model for time series, which includes many ARCH models and AR models already discussed in the literature. We also propose a new estimation procedure based on a localization of the econometric method of instrumental variables. Our method has considerable computational advantages over the competing marginal integration or projection method.

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Year of publication:	2000
Authors:	Kim, Woocheol ; Linton, Oliver
Institutions:	Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse (contributor)
Publisher:	Berlin : Humboldt-Universität
Subject:	Volatilität \| Volatility \| Nichtparametrisches Verfahren \| Nonparametric statistics \| ARCH-Modell \| ARCH model \| Stochastischer Prozess \| Stochastic process \| Schätztheorie \| Estimation theory