A local instrumental variable estimation method for generalized additive volatility models

Publication Date
Financial Markets Group Discussion Papers DP 509
Publication Authors

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.

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