Mode meets mean: a new robust volatility

DOI10.1111/JTSA.70022MaRDI QIDQ7402266zbMATH OpenFDO

Authors

Publication date 2026

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

Full work available at URL https://doi.org/10.1111/JTSA.70022

zbMATH Keywords

\(\alpha\)-mixingefficiencylocal linearmean volatilitymoderobustness

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Inference from stochastic processes (62Mxx) Economic time series analysis (91B84)

Cites work

• A new regression model: modal linear regression
• Local M-estimator for nonparametric time series.
• Modal volatility function
• Nonlinear time series. Nonparametric and parametric methods
• NONPARAMETRIC ESTIMATION OF VOLATILITY FUNCTIONS: THE LOCAL EXPONENTIAL ESTIMATOR
• Parametric modal regression with autocorrelated error process
• Regression towards the mode
• Semiparametric partially linear varying coefficient modal regression
• The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors

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