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Article: Single-index volatility models and estimation

TitleSingle-index volatility models and estimation
Authors
Xia, YTong, HLi, WK
KeywordsARCH
Conditional variance
Local linear smoother
Order determination
Issue Date2002
PublisherAcademia Sinica, Institute of Statistical Science. The Journal's web site is located at http://www.stat.sinica.edu.tw/statistica/
Citation
Statistica Sinica, 2002, v. 12 n. 3, p. 785-799 How to Cite?
AbstractWe develop a single-index volatility model in this paper. A new method is proposed to estimate the single-index coefficient and the link function. Unlike most existing estimation methods for semiparametric models, root-n consistency of the single-index coefficient can be achieved by our method without under-smoothing the unknown function. A Lagrange-multiplier type test is employed to determine the order of the model. Some simulations and applications to real data are included.
Persistent Identifierhttp://hdl.handle.net/10722/45354
ISSN
1017-0405
2023 Impact Factor: 1.5
2023 SCImago Journal Rankings: 1.368
ISI Accession Number ID
WOS:000177673500007
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorXia, Yen_HK
dc.contributor.authorTong, Hen_HK
dc.contributor.authorLi, WKen_HK
dc.date.accessioned2007-10-30T06:23:37Z-
dc.date.available2007-10-30T06:23:37Z-
dc.date.issued2002en_HK
dc.identifier.citationStatistica Sinica, 2002, v. 12 n. 3, p. 785-799en_HK
dc.identifier.issn1017-0405en_HK
dc.identifier.urihttp://hdl.handle.net/10722/45354-
dc.description.abstractWe develop a single-index volatility model in this paper. A new method is proposed to estimate the single-index coefficient and the link function. Unlike most existing estimation methods for semiparametric models, root-n consistency of the single-index coefficient can be achieved by our method without under-smoothing the unknown function. A Lagrange-multiplier type test is employed to determine the order of the model. Some simulations and applications to real data are included.en_HK
dc.format.extent284615 bytes-
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dc.format.mimetypeapplication/pdf-
dc.format.mimetypeapplication/pdf-
dc.format.mimetypetext/plain-
dc.languageengen_HK
dc.publisherAcademia Sinica, Institute of Statistical Science. The Journal's web site is located at http://www.stat.sinica.edu.tw/statistica/en_HK
dc.relation.ispartofStatistica Sinicaen_HK
dc.subjectARCHen_HK
dc.subjectConditional varianceen_HK
dc.subjectLocal linear smootheren_HK
dc.subjectOrder determinationen_HK
dc.titleSingle-index volatility models and estimationen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=1017-0405&volume=12&issue=3&spage=785&epage=799&date=2002&atitle=Single-index+volatility+models+and+estimationen_HK
dc.identifier.emailLi, WK: hrntlwk@hku.hken_HK
dc.identifier.authorityLi, WK=rp00741en_HK
dc.description.naturepublished_or_final_versionen_HK
dc.identifier.scopuseid_2-s2.0-0036660836en_HK
dc.identifier.hkuros74958-
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-0036660836&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume12en_HK
dc.identifier.issue3en_HK
dc.identifier.spage785en_HK
dc.identifier.epage799en_HK
dc.identifier.isiWOS:000177673500007-
dc.publisher.placeTaiwan, Republic of Chinaen_HK
dc.identifier.scopusauthoridXia, Y=7403027730en_HK
dc.identifier.scopusauthoridTong, H=7201359749en_HK
dc.identifier.scopusauthoridLi, WK=14015971200en_HK
dc.identifier.issnl1017-0405-

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