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Article: Single-index volatility models and estimation

TitleSingle-index volatility models and estimation
Authors
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
2015 Impact Factor: 0.838
2015 SCImago Journal Rankings: 2.292
ISI Accession Number ID
References

 

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
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dc.format.extent122542 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.rightsCreative Commons: Attribution 3.0 Hong Kong License-
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

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