Local polynomial estimation of SPDs with application to VaR models

MaRDI QIDQ3074114zbMATH OpenFDO

Authors Xianhua Luo, Jian Xiong, Yuan Li, Qifeng Wu

Publication date 5 February 2011

zbMATH Keywords

state-price densitiesvalue at risk

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cited in

(1)

• Local polynomial estimations of time-varying coefficients for local stationary diffusion models

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