Modal volatility function

DOI10.1111/JTSA.12790MaRDI QIDQ6962064zbMATH OpenFDO

Authors Aman Ullah

Publication date 9 July 2025

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/JTSA.12790

zbMATH Keywords

exponential functionmodevariance reductionvolatilitylocal linear

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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Cited in

(1)

• Advances in modal regression: from theoretical foundations to practical implementations

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