A local instrumental variable estimation method for generalized additive volatility models

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:	2004-09
Authors:	Kim, Woocheol ; Linton, Oliver
Institutions:	London School of Economics (LSE)
Subject:	ARCH \| Kernel estimation \| Nonparametric \| Volatility

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Extent:	application/pdf
Series:	LSE Research Online Documents on Economics.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Discussion paper, 509 45 pages
Classification:	C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010746316