Conditional variance estimation in heteroscedastic regression models

DOI10.1016/j.jspi.2008.04.020zbMath1149.62032OpenAlexW2019396770MaRDI QIDQ958779

Ming-Yen Cheng, Liang Peng, Lu-Hung Chen

Publication date: 8 December 2008

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: http://ntur.lib.ntu.edu.tw/bitstream/246246/183968/1/09.pdf

zbMATH Keywords

variance reductionvolatilityconditional variancelocal linear estimationlog-transformationlocal likelihood estimation

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32)

Related Items (17)

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• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Efficient estimation of conditional variance functions in stochastic regression
• Estimation and Testing Stationarity for Double-Autoregressive Models
• Likelihood-Based Local Linear Estimation of the Conditional Variance Function
• Weighted least absolute deviations estimation for an AR(1) process with ARCH(1) errors

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