LOCAL INSTRUMENTAL VARIABLE METHOD FOR THE GENERALIZED ADDITIVE-INTERACTIVE NONLINEAR VOLATILITY MODEL ESTIMATION

In this article we consider a new separable nonparametric volatility model that includes second-order interaction terms in both mean and conditional variance functions. This is a very flexible nonparametric ARCH model that can potentially explain the behavior of the wide variety of financial assets....

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Veröffentlicht in:	Econometric theory 2012-06, Vol.28 (3), p.629-669
Hauptverfasser:	Levine, Michael, Li, Jinguang
Format:	Artikel
Sprache:	eng
Schlagworte:	Density estimation Econometric models Econometrics Economic models Ergodic theory Estimating techniques Estimation Estimation methods Estimators Estimators for the mean Financial assets GARCH models Instrumental variables Instrumental variables estimation Mathematical analysis Nonparametric models Portfolio management Statistical variance Stochastic models Studies Time series Variance analysis Volatility
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