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Efficient estimation of conditional variance functions in stochastic regression |
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| Authors: | FAN, JIANQING YAO, QIWEI |
| Affiliation: | Department of Statistics, University of California Los Angeles, California 90095, U.S.A.jfan{at}stat.cla.edu Institute of Mathematics and Statistics, University of Kent Canterbury, Kent CT2 7NF, U.K.q.yao{at}ukc.ac.uk |
| Abstract: | |
| Keywords: | Absolutely regular ARCH Conditional variance Efficient estimator Heteroscedasticity Local linear regression Nonlinear time series Volatility |
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