Single-index volatility models and estimation

Statistica Sinica

Volumn 12, Issue 3, 2002, Pages 785-799

  Xia, Yingcun ^a   Tong, Howell ^a   Li, W K ^a  

^a UNIVERSITY OF CAMBRIDGE   (United Kingdom)

Author keywords

ARCH; Conditional variance; Local linear smoother; Order determination

Indexed keywords

EID: 0036660836     PISSN: 10170405     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

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