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SEMIPARAMETRIC ESTIMATION OF CONDITIONAL HETEROSCEDASTICITY VIA SINGLE-INDEX MODELING

Liping Zhu1, Yuexiao Dong2, Runze Li3

  • 1School of Statistics and Management and the Key Laboratory of Mathematical, Economics, Ministry of Education, Shanghai University of Finance and Economics, Shanghai 200433, P. R. China, zhu.liping@mail.shufe.edu.cn.

Statistica Sinica
|January 29, 2014
PubMed

Keywords:
Conditional varianceheteroscedasticitysingle-index modelvolatility

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