Nonparametric Covariance Model
Statistica Sinica, Forthcoming
15 Pages Posted: 2 Dec 2008
Date Written: November 27, 2008
There has been considerable attention on estimation of conditional variance function in the literature. We propose here a nonparametric model for conditional covariance matrix. A kernel estimator is developed accordingly, its asymptotic bias and variance are derived, and its asymptotic normality is established. A real data example is used to illustrate the proposed estimation procedure.
Keywords: Conditional variance, Heteroscedasticity, Kernel regression, Nonparametric covariance model, Volatility
JEL Classification: C5, C51
Suggested Citation: Suggested Citation