{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,4,6]],"date-time":"2026-04-06T08:48:03Z","timestamp":1775465283152,"version":"3.50.1"},"reference-count":36,"publisher":"Cambridge University Press (CUP)","issue":"1","license":[{"start":{"date-parts":[[2010,4,30]],"date-time":"2010-04-30T00:00:00Z","timestamp":1272585600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2011,2]]},"abstract":"<jats:p>Fan and Yao (1998) proposed an efficient method to estimate the conditional variance of heteroskedastic regression models. Chen, Cheng, and Peng (2009) applied variance reduction techniques to the estimator of Fan and Yao (1998) and proposed a new estimator for conditional variance to account for the skewness of financial data. In this paper, we apply empirical likelihood methods to construct confidence intervals for the conditional variance based on the estimator of Fan and Yao (1998) and the reduced variance modification of Chen et al. (2009). Simulation studies and data analysis demonstrate the advantage of the empirical likelihood method over the normal approximation method.<\/jats:p>","DOI":"10.1017\/s0266466610000150","type":"journal-article","created":{"date-parts":[[2010,4,30]],"date-time":"2010-04-30T09:48:14Z","timestamp":1272620894000},"page":"154-177","source":"Crossref","is-referenced-by-count":12,"title":["EMPIRICAL-LIKELIHOOD-BASED CONFIDENCE INTERVALS FOR CONDITIONAL VARIANCE IN HETEROSKEDASTIC REGRESSION MODELS"],"prefix":"10.1017","volume":"27","author":[{"given":"Ngai Hang","family":"Chan","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Liang","family":"Peng","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Dabao","family":"Zhang","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2010,4,30]]},"reference":[{"key":"S0266466610000150_ref35","first-page":"369","article-title":"Nonparametric test for the form of parametric regression with time series errors","volume":"17","author":"Wang","year":"2007","journal-title":"Statistica Sinica"},{"key":"S0266466610000150_ref33","doi-asserted-by":"publisher","DOI":"10.1201\/9781420036152"},{"key":"S0266466610000150_ref32","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176347494"},{"key":"S0266466610000150_ref31","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/75.2.237"},{"key":"S0266466610000150_ref30","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2004.00482.x"},{"key":"S0266466610000150_ref29","first-page":"161","article-title":"A double AR(p) model: Structure and estimation","volume":"17","author":"Ling","year":"2007","journal-title":"Statistica Sinica"},{"key":"S0266466610000150_ref15","first-page":"965","article-title":"Time-dependent diffusion models for term structure dynamics","volume":"13","author":"Fan","year":"2003","journal-title":"Statistica Sinica"},{"key":"S0266466610000150_ref24","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00261"},{"key":"S0266466610000150_ref34","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90016-2"},{"key":"S0266466610000150_ref11","doi-asserted-by":"publisher","DOI":"10.2307\/1911242"},{"key":"S0266466610000150_ref36","doi-asserted-by":"publisher","DOI":"10.1198\/016214504000000133"},{"key":"S0266466610000150_ref6","doi-asserted-by":"publisher","DOI":"10.1016\/j.jspi.2008.04.020"},{"key":"S0266466610000150_ref27","doi-asserted-by":"publisher","DOI":"10.1214\/105051604000000189"},{"key":"S0266466610000150_ref25","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2004.00550.x"},{"key":"S0266466610000150_ref5","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/92.2.477"},{"key":"S0266466610000150_ref12","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(03)00118-0"},{"key":"S0266466610000150_ref21","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00207"},{"key":"S0266466610000150_ref2","doi-asserted-by":"publisher","DOI":"10.2307\/2171880"},{"key":"S0266466610000150_ref16","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/85.3.645"},{"key":"S0266466610000150_ref9","first-page":"63","article-title":"An empirical likelihood goodness-of-fit test for time series","volume":"66","author":"Chen","year":"2003","journal-title":"Journal of Royal Statistical Society B"},{"key":"S0266466610000150_ref19","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4612-4384-7"},{"key":"S0266466610000150_ref1","doi-asserted-by":"publisher","DOI":"10.2307\/2171860"},{"key":"S0266466610000150_ref17","doi-asserted-by":"publisher","DOI":"10.1007\/978-0-387-69395-8"},{"key":"S0266466610000150_ref4","doi-asserted-by":"crossref","first-page":"1220","DOI":"10.1214\/aoap\/1015345401","article-title":"The tail of the stationary distribution of an autoregressive process with ARCH(1) errors","volume":"11","author":"Borkovec","year":"2001","journal-title":"Annals of Applied Probability"},{"key":"S0266466610000150_ref28","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9868.2004.00432.x"},{"key":"S0266466610000150_ref23","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1069362388"},{"key":"S0266466610000150_ref3","doi-asserted-by":"publisher","DOI":"10.2307\/3318623"},{"key":"S0266466610000150_ref7","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2006.10.006"},{"key":"S0266466610000150_ref8","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2006.12.002"},{"key":"S0266466610000150_ref10","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/87.4.946"},{"key":"S0266466610000150_ref14","doi-asserted-by":"publisher","DOI":"10.1198\/016214501753168316"},{"key":"S0266466610000150_ref13","doi-asserted-by":"publisher","DOI":"10.1214\/088342305000000412"},{"key":"S0266466610000150_ref18","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/996986505"},{"key":"S0266466610000150_ref20","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176349403"},{"key":"S0266466610000150_ref22","doi-asserted-by":"publisher","DOI":"10.1198\/073500102288618630"},{"key":"S0266466610000150_ref26","volume-title":"Numerical Solution of Stochastic Differential Equations","author":"Kloeden","year":"1999"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466610000150","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,4,27]],"date-time":"2019-04-27T19:39:00Z","timestamp":1556393940000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466610000150\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2010,4,30]]},"references-count":36,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2011,2]]}},"alternative-id":["S0266466610000150"],"URL":"https:\/\/doi.org\/10.1017\/s0266466610000150","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2010,4,30]]}}}