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Showing 1 to 2 of 2 for “"conditional variance function"”.
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One and Two-Step Estimation of Time Variant Parameters and Nonparametric Quantiles
… likelihood estimation with a local kernel function. This local maximum likelihood estimation is applied in both a discrete and continuous case of distribution, and we consider polynomial expansions of the unknown parameter in each case. In the continuous case, we choose a distribution with …
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Some aspects of modeling conditional heteroskedasticity: Theory and applications
… theoretical and empirical aspects of a class of conditionally heteroskedastic models. We apply the White's information matrix (IM) test to the linear regression model with autocorrelated errors. A special case of one component of the test is found to be identical to the Engle's Lagrange …