A Local Linear Least-Absolute-Deviations Estimator of Volatility

DOI10.1080/03610910802244398MaRDI QIDQ3543700zbMATH OpenOpenAlexFDO

Authors Flavio Augusto Ziegelmann

Publication date 4 December 2008

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610910802244398

zbMATH Keywords

heavy tailskernel smoothingleast absolutesnonparametric regressionresidual estimatorrobustnessvolatility

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05)

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Cites work

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Cited in

(8)

• Semiparametric estimation of volatility: some models and complexity choice in the adaptive functional-coefficient class
• Unstable volatility: the break-preserving local linear estimator
• Let's get LADE: robust estimation of semiparametric multiplicative volatility models
• LAD asymptotics under conditional heteroskedasticity with possibly infinite error densities
• High Breakdown Point Conditional Dispersion Estimation with Application to S & P 500 Daily Returns Volatility
• Recovery of volatility coefficient by linearization
• Smoothed local \(L\)-estimation with an application
• Robust tests for changing volatility

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