Back To Index Previous Article Next Article Full Text Supplement


Statistica Sinica 20 (2010), 469-479





NONPARAMETRIC COVARIANCE MODEL


Jianxin Yin$^1$, Zhi Geng$^1$, Runze Li$^2$ and Hansheng Wang$^1$


$^1$Peking University and $^2$Pennsylvania State University


Abstract: There has been considerable attention paid to estimation of conditional variance functions in the literature. We propose a nonparametric model for the conditional covariance matrix. A kernel estimator is developed, its asymptotic bias and variance are derived, and its asymptotic normality is established. A data example is used to illustrate the proposed procedure.



Key words and phrases: Conditional variance, heteroscedasticitym kernel regression, nonparametric covariance model, volatility.

Back To Index Previous Article > Next Article Full Text Supplement