Nonparametric Covariance Model

Statistica Sinica, Forthcoming

15 Pages Posted: 2 Dec 2008

See all articles by Jianxin Yin

Jianxin Yin

Peking University - School of Mathematical Sciences

Zhi Geng

Peking University

Runze Li

Pennsylvania State University

Hansheng Wang

Peking University - Guanghua School of Management

Date Written: November 27, 2008

Abstract

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

Yin, Jianxin and Geng, Zhi and Li, Runze and Wang, Hansheng, Nonparametric Covariance Model (November 27, 2008). Statistica Sinica, Forthcoming. Available at SSRN: https://ssrn.com/abstract=1308331

Jianxin Yin

Peking University - School of Mathematical Sciences ( email )

Peking
China

Zhi Geng

Peking University ( email )

No. 38 Xueyuan Road
Haidian District
Beijing, Beijing 100871
China

Runze Li

Pennsylvania State University ( email )

University Park
State College, PA 16802
United States

Hansheng Wang (Contact Author)

Peking University - Guanghua School of Management ( email )

Peking University
Beijing, Beijing 100871
China

HOME PAGE: http://hansheng.gsm.pku.edu.cn

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