An iterative plug-in algorithm for realized kernels

DOI10.1007/S10182-026-00562-9MaRDI QIDQ7396503zbMATH OpenFDO

Authors Yuanhua Feng, Chen Zhou

Publication date 2026

Published in AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S10182-026-00562-9

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites work

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• The Distribution of Realized Exchange Rate Volatility
• Ultra high frequency volatility estimation with dependent microstructure noise

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