Semiparametric estimator of time series conditional variance

Journal of Business and Economic Statistics

Volumn 28, Issue 2, 2010, Pages 256-274

  Mishra, Santosh ^a   Su, Liangjun ^b   Ullah, Aman ^c  

^a OREGON STATE UNIVERSITY   (United States)

^b SINGAPORE MANAGEMENT UNIVERSITY   (Singapore)

^c UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Conditional variance; Nonparametric estimator; Semiparametric models

Indexed keywords

EID: 75649098227     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/jbes.2009.08118     Document Type: Article

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