Add to ORKGAbstract: We 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. Key words and phrases: ARCH, conditional variance, local linear smoother, order determination. 1
We propose a multivariate generalization of the multiplicative volatility model of Engle and Rangel ...
Generalized single-index models are natural extensions of linear models and circumvent the so-called...
Estimation in two classes of popular models, single-index models and partially lin-ear single-index ...
We develop a single-index volatility model in this paper. A new method is proposed to estimate the s...
AbstractConsider a varying-coefficient single-index model which consists of two parts: the linear pa...
In this paper, we generalize the single-index models to the scenarios with random effects. The intro...
In this paper, semiparametric methods are applied to estimate multivariate volatility functions, usi...
A new semiparametric observation-driven volatility model is proposed. In contrast to the standard se...
In this paper, we study the estimation for a partial-linear single-index model. A two-stage estimati...
In this paper we focus on nonparametric analysis of the volatility function for mixing processes. Ou...
In this article, we study a semiparametric multiplicative volatility model, which splits up into a n...
USA For the class of single-index models, I construct a semiparametric estimator of coefficients up ...
One of the most di±cult problems in applications of semiparametric generalized par-tially linear sin...
ARCH/GARCH modelling has been successfully applied in empirical finance for many years. This paper s...
Many economic and financial time series have been found to exhibit dynamics in variance; that is, th...
We propose a multivariate generalization of the multiplicative volatility model of Engle and Rangel ...
Generalized single-index models are natural extensions of linear models and circumvent the so-called...
Estimation in two classes of popular models, single-index models and partially lin-ear single-index ...
We develop a single-index volatility model in this paper. A new method is proposed to estimate the s...
AbstractConsider a varying-coefficient single-index model which consists of two parts: the linear pa...
In this paper, we generalize the single-index models to the scenarios with random effects. The intro...
In this paper, semiparametric methods are applied to estimate multivariate volatility functions, usi...
A new semiparametric observation-driven volatility model is proposed. In contrast to the standard se...
In this paper, we study the estimation for a partial-linear single-index model. A two-stage estimati...
In this paper we focus on nonparametric analysis of the volatility function for mixing processes. Ou...
In this article, we study a semiparametric multiplicative volatility model, which splits up into a n...
USA For the class of single-index models, I construct a semiparametric estimator of coefficients up ...
One of the most di±cult problems in applications of semiparametric generalized par-tially linear sin...
ARCH/GARCH modelling has been successfully applied in empirical finance for many years. This paper s...
Many economic and financial time series have been found to exhibit dynamics in variance; that is, th...
We propose a multivariate generalization of the multiplicative volatility model of Engle and Rangel ...
Generalized single-index models are natural extensions of linear models and circumvent the so-called...
Estimation in two classes of popular models, single-index models and partially lin-ear single-index ...