Semiparametric estimation of volatility: some models and complexity choice in the adaptive functional-coefficient class

DOI10.1080/00949650903468193zbMath1270.62066MaRDI QIDQ3019823

Flávio Augusto Ziegelmann

Publication date: 29 July 2011

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949650903468193

zbMATH Keywords

semiparametric models; curse of dimensionality; volatility; model choice; adaptive functional-coefficient model

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

62G05: Nonparametric estimation

65C05: Monte Carlo methods

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