In this paper, a local 𝑀-estimation for the conditional variance function in heteroscedastic regression models under stationary α-mixing dependent samples is developed. The local 𝑀-estimator is ...

The exponentially weighted moving average (EWMA) estimator is widely used to forecast the conditional volatility of short-horizon asset returns. The EWMA estimator is appropriate when returns are ...

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ABSTRACT: In many applications a heterogeneous population consists of several subpopulations. When each subpopulation can be adequately modeled by a heteroscedastic single-index model, the whole ...

It leverages the conditional front-door adjustment (CFD), which theoretically gaurantees lower variance estimates than the commonly used standard backdoor adjustment (CFD) when the true treatment ...

ABSTRACT: This study investigated the performance of eleven competing time series GARCH models for fitting the rate of returns data, monthly observations on the index returns series of the market over ...