A local instrumental variable estimation method for generalized additive volatility models

Woocheol Kim and Oliver Linton

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: We investigate a new separable nonparametric model for time series, which includes many ARCH models and AR models already discussed in the literature. We also propose a new estimation procedure based on a localization of the econometric method of instrumental variables. Our method has considerable computational advantages over the competing marginal integration or projection method.

Keywords: ARCH; kernel estimation; nonparametric; volatility (search for similar items in EconPapers)
JEL-codes: C14 C22 (search for similar items in EconPapers)
Pages: 45 pages
Date: 2004-05-21
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://eprints.lse.ac.uk/24758/ Open access version. (application/pdf)

Related works:
Working Paper: A Local Instrumental Variable Estimation Method For Generalized Additive Volatility Models (2004)
Working Paper: A Local Instrumental Variable Estimation Method for Generalized Additive Volatility Models (2003)
Working Paper: A local instrumental variable estimation method for generalized additive volatility models (2003)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:24758

Access Statistics for this paper

More papers in LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library LSE Library Portugal Street London, WC2A 2HD, U.K.. Contact information at EDIRC.
Bibliographic data for series maintained by LSERO Manager (lseresearchonline@lse.ac.uk).