{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2022,4,2]],"date-time":"2022-04-02T10:45:44Z","timestamp":1648896344559},"reference-count":28,"publisher":"Cambridge University Press (CUP)","issue":"3","license":[{"start":{"date-parts":[[2012,1,20]],"date-time":"2012-01-20T00:00:00Z","timestamp":1327017600000},"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":[[2012,6]]},"abstract":"<jats:p>In this article we consider a new separable nonparametric volatility model that includes second-order interaction terms in both mean and conditional variance functions. This is a very flexible nonparametric ARCH model that can potentially explain the behavior of the wide variety of financial assets. The model is estimated using the generalized version of the local instrumental variable estimation method first introduced in Kim and Linton (2004, <jats:italic>Econometric Theory<\/jats:italic> 20, 1094\u20131139). This method is computationally more effective than most other nonparametric estimation methods that can potentially be used to estimate components of such a model. Asymptotic behavior of the resulting estimators is investigated and their asymptotic normality is established. Explicit expressions for asymptotic means and variances of these estimators are also obtained.<\/jats:p>","DOI":"10.1017\/s0266466611000363","type":"journal-article","created":{"date-parts":[[2012,1,20]],"date-time":"2012-01-20T10:51:54Z","timestamp":1327056714000},"page":"629-669","source":"Crossref","is-referenced-by-count":0,"title":["LOCAL INSTRUMENTAL VARIABLE METHOD FOR THE GENERALIZED ADDITIVE-INTERACTIVE NONLINEAR VOLATILITY MODEL ESTIMATION"],"prefix":"10.1017","volume":"28","author":[{"given":"Michael","family":"Levine","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Jinguang","family":"Li","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2012,1,20]]},"reference":[{"key":"S0266466611000363_ref22","first-page":"587","article-title":"Covariance inequalities for strongly mixing processes","volume":"29","author":"Rio","year":"1993","journal-title":"Annales de l\u2019institut Henri Poincar\u00e9 (B) Probabilit\u00e9s et Statistiques"},{"key":"S0266466611000363_ref23","doi-asserted-by":"publisher","DOI":"10.2307\/2298081"},{"key":"S0266466611000363_ref28","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9892.00159"},{"key":"S0266466611000363_ref24","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466602182016"},{"key":"S0266466611000363_ref21","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(90)90101-X"},{"key":"S0266466611000363_ref10","doi-asserted-by":"publisher","DOI":"10.1007\/978-0-387-69395-8"},{"key":"S0266466611000363_ref19","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600008409"},{"key":"S0266466611000363_ref18","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4149(96)00095-6"},{"key":"S0266466611000363_ref15","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/82.1.93"},{"key":"S0266466611000363_ref12","volume-title":"Generalized Additive Models","author":"Hastie","year":"1990"},{"key":"S0266466611000363_ref9","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05127.x"},{"key":"S0266466611000363_ref5","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(86)90063-1"},{"key":"S0266466611000363_ref4","first-page":"177","article-title":"Studies in stock price volatility changes","author":"Black","year":"1976","journal-title":"Proceedings of the 1976 Meeting of the Business and Economic Statistics Section"},{"key":"S0266466611000363_ref3","volume-title":"On the Formulation of a General Structure for Conditional Heteroskedasticity","author":"Bera","year":"1990"},{"key":"S0266466611000363_ref2","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/77.4.669"},{"key":"S0266466611000363_ref13","doi-asserted-by":"publisher","DOI":"10.1017\/S026646660420603X"},{"key":"S0266466611000363_ref1","first-page":"1301","article-title":"Criteres d\u2019ergodicite de quelques modeles a representation markovenne","volume":"315","author":"Ango Nze","year":"1992","journal-title":"Les Comptes Rendus de l\u2019Acad\u00e9mie des Sciences Paris"},{"key":"S0266466611000363_ref7","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176347115"},{"key":"S0266466611000363_ref16","doi-asserted-by":"publisher","DOI":"10.1016\/S0167-7152(00)00138-3"},{"key":"S0266466611000363_ref20","volume-title":"Nonparametric and Semiparametric Methods in Econometrics and Statistics","author":"Pagan","year":"1991"},{"key":"S0266466611000363_ref25","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176325361"},{"key":"S0266466611000363_ref26","first-page":"1398","article-title":"Nonparametric identification of nonlinear time series: Projections","volume":"89","author":"Tjostheim","year":"1994","journal-title":"Journal of the American Statistical Association"},{"key":"S0266466611000363_ref8","doi-asserted-by":"publisher","DOI":"10.2307\/1912773"},{"key":"S0266466611000363_ref14","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(02)00198-7"},{"key":"S0266466611000363_ref27","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4899-4493-1"},{"key":"S0266466611000363_ref11","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1987.10478440"},{"key":"S0266466611000363_ref17","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9892.1996.tb00294.x"},{"key":"S0266466611000363_ref6","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1985.10478157"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466611000363","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,4,25]],"date-time":"2019-04-25T20:56:20Z","timestamp":1556225780000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466611000363\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2012,1,20]]},"references-count":28,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2012,6]]}},"alternative-id":["S0266466611000363"],"URL":"https:\/\/doi.org\/10.1017\/s0266466611000363","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2012,1,20]]}}}