Quasi-likelihood estimation of the single index conditional variance model
Author
Abstract
Suggested Citation
DOI: 10.1016/j.csda.2018.06.008
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Ke-Li Xu & Peter C. B. Phillips, 2011.
"Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(4), pages 518-528, October.
- Xu, Ke-Li & Phillips, Peter C. B., 2011. "Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(4), pages 518-528.
- Yanyuan Ma & Liping Zhu, 2012. "A Semiparametric Approach to Dimension Reduction," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 107(497), pages 168-179, March.
- Yingcun Xia & Howell Tong & W. K. Li & Li‐Xing Zhu, 2002. "An adaptive estimation of dimension reduction space," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(3), pages 363-410, August.
- Xiangrong Yin & R. Dennis Cook, 2002. "Dimension reduction for the conditional kth moment in regression," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(2), pages 159-175, May.
- Xiangrong Yin & R. Dennis Cook, 2005. "Direction estimation in single-index regressions," Biometrika, Biometrika Trust, vol. 92(2), pages 371-384, June.
- Xia, Yingcun, 2006. "Asymptotic Distributions For Two Estimators Of The Single-Index Model," Econometric Theory, Cambridge University Press, vol. 22(6), pages 1112-1137, December.
- Ziegelmann, Flavio A., 2002. "Nonparametric Estimation Of Volatility Functions: The Local Exponential Estimator," Econometric Theory, Cambridge University Press, vol. 18(4), pages 985-991, August.
- Yu, K. & Jones, M.C., 2004. "Likelihood-Based Local Linear Estimation of the Conditional Variance Function," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 139-144, January.
- Fan, Jianqing & Yao, Qiwei, 1998. "Efficient estimation of conditional variance functions in stochastic regression," LSE Research Online Documents on Economics 6635, London School of Economics and Political Science, LSE Library.
- Yanyuan Ma & Liping Zhu, 2013. "A Review on Dimension Reduction," International Statistical Review, International Statistical Institute, vol. 81(1), pages 134-150, April.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Chen, Canyi & Xu, Wangli & Zhu, Liping, 2022. "Distributed estimation in heterogeneous reduced rank regression: With application to order determination in sufficient dimension reduction," Journal of Multivariate Analysis, Elsevier, vol. 190(C).
- da Silva, Murilo & Sriram, T.N. & Ke, Yuan, 2023. "Dimension reduction in time series under the presence of conditional heteroscedasticity," Computational Statistics & Data Analysis, Elsevier, vol. 180(C).
- Enno Mammen & Jens Perch Nielsen & Michael Scholz & Stefan Sperlich, 2019. "Conditional Variance Forecasts for Long-Term Stock Returns," Risks, MDPI, vol. 7(4), pages 1-22, November.
- S. Yaser Samadi & Tharindu P. De Alwis, 2023. "Fourier Methods for Sufficient Dimension Reduction in Time Series," Papers 2312.02110, arXiv.org.
- Lu Li & Kai Tan & Xuerong Meggie Wen & Zhou Yu, 2023. "Variable-dependent partial dimension reduction," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 32(2), pages 521-541, June.
- Ye, Xu-Guo & Lin, Jin-Guan & Zhao, Yan-Yong & Hao, Hong-Xia, 2015. "Two-step estimation of the volatility functions in diffusion models with empirical applications," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 135-159.
- Zhang, Hong-Fan, 2021. "Minimum Average Variance Estimation with group Lasso for the multivariate response Central Mean Subspace," Journal of Multivariate Analysis, Elsevier, vol. 184(C).
- Iaci, Ross & Yin, Xiangrong & Zhu, Lixing, 2016. "The Dual Central Subspaces in dimension reduction," Journal of Multivariate Analysis, Elsevier, vol. 145(C), pages 178-189.
- Xia, Yingcun & Härdle, Wolfgang Karl & Linton, Oliver, 2009.
"Optimal smoothing for a computationally and statistically efficient single index estimator,"
SFB 649 Discussion Papers
2009-028, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Hardle, Wolfgang & Xia, Yingcun & Linton, Oliver, 2009. "Optimal smoothing for a computationally and statistically efficient single index estimator," LSE Research Online Documents on Economics 58173, London School of Economics and Political Science, LSE Library.
- Wolfgang Härdle & Oliver Linton & Yingcun Xia, 2009. "Optimal Smoothing for a Computationallyand StatisticallyEfficient Single Index Estimator," STICERD - Econometrics Paper Series 537, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- León Beleña & Ernesto Curbelo & Luca Martino & Valero Laparra, 2024. "Second-Moment/Order Approximations by Kernel Smoothers with Application to Volatility Estimation," Mathematics, MDPI, vol. 12(9), pages 1-15, May.
- Linton, Oliver & Mammen, Enno, 2003.
"Estimating semiparametric ARCH (8) models by kernel smoothing methods,"
LSE Research Online Documents on Economics
2187, London School of Economics and Political Science, LSE Library.
- Enno Mammen & Oliver Linton, 2004. "Estimating Semiparametric ARCH Models by Kernel Smoothing Methods," FMG Discussion Papers dp511, Financial Markets Group.
- Oliver Linton & Enno Mammen, 2003. "Estimating Semiparametric ARCH (8) Models by Kernel Smoothing Methods," STICERD - Econometrics Paper Series 453, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Wang, Pei & Yin, Xiangrong & Yuan, Qingcong & Kryscio, Richard, 2021. "Feature filter for estimating central mean subspace and its sparse solution," Computational Statistics & Data Analysis, Elsevier, vol. 163(C).
- Sheng, Wenhui & Yin, Xiangrong, 2013. "Direction estimation in single-index models via distance covariance," Journal of Multivariate Analysis, Elsevier, vol. 122(C), pages 148-161.
- Cheng, Qing & Zhu, Liping, 2017. "On relative efficiency of principal Hessian directions," Statistics & Probability Letters, Elsevier, vol. 126(C), pages 108-113.
- Xu, Ke-Li & Phillips, Peter C. B., 2011.
"Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 29(4), pages 518-528.
- Ke-Li Xu & Peter C. B. Phillips, 2011. "Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(4), pages 518-528, October.
- Yongtao Guan & Hansheng Wang, 2010. "Sufficient dimension reduction for spatial point processes directed by Gaussian random fields," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 72(3), pages 367-387, June.
- Huybrechts F. Bindele & Ash Abebe & Karlene N. Meyer, 2018. "General rank-based estimation for regression single index models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 70(5), pages 1115-1146, October.
- Pérez-González, A. & Vilar-Fernández, J.M. & González-Manteiga, W., 2010. "Nonparametric variance function estimation with missing data," Journal of Multivariate Analysis, Elsevier, vol. 101(5), pages 1123-1142, May.
- Lei Wang, 2019. "Dimension reduction for kernel-assisted M-estimators with missing response at random," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 71(4), pages 889-910, August.
- Xu, Ke-Li, 2010. "Reweighted Functional Estimation Of Diffusion Models," Econometric Theory, Cambridge University Press, vol. 26(2), pages 541-563, April.
More about this item
Keywords
Conditional variance; Single index model; Heteroscedasticity; Quasi-likelihood;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:csdana:v:128:y:2018:i:c:p:58-72. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/csda .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.