Kernel estimators of conditional variance
DOI:
https://doi.org/10.12775/AUNC_ECON.2009.048Keywords
kernel estimator, simulation analysis, conditional varianceAbstract
In this paper a concept of kernel estimators was presented. Kernel estimators were used as a tool for analysis of conditional variance of economical time series. A Monte Carlo simulation was used to research the effectiveness of kernel estimators of conditional variance. Kernel estimators of conditional variance were compared with the estimators of maximum likelihood method. Simulation analysis was completed by the results of empirical investigations.
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