NONPARAMETRIC ESTIMATION OF VOLATILITY FUNCTIONS: THE LOCAL EXPONENTIAL ESTIMATOR
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Cited in
(27)- Local polynomial estimators of the volatility function in nonparametric autoregression
- Volatility estimation in a nonlinear heteroscedastic functional regression model with martingale difference errors
- Quasi-likelihood estimation of the single index conditional variance model
- Estimating deterministically time-varying variances in regression models
- Nonparametric estimation of volatility and its parametric analogs
- Estimation of a varying coefficient, fixed-effects Cobb-Douglas production function in levels
- How to measure the impact of environmental factors in a nonparametric production model
- Adaptive likelihood estimator of conditional variance function
- Semiparametric estimation of volatility: some models and complexity choice in the adaptive functional-coefficient class
- Unstable volatility: the break-preserving local linear estimator
- Nonparametric estimation of the conditional variance function with correlated errors
- A Local Linear Least-Absolute-Deviations Estimator of Volatility
- Reweighted functional estimation of diffusion models
- scientific article; zbMATH DE number 5732746 (Why is no real title available?)
- scientific article; zbMATH DE number 7578230 (Why is no real title available?)
- Local M-estimation for conditional variance in heteroscedastic regression models
- Efficient nonparametric estimation and inference for the volatility function
- Oracally Efficient Global Inference for Variance Function in Nonparametric Regression With Missing Covariates
- On nonparametric estimation of a nonparametric autoregressive conditionally heteroscedastic process
- Robust nonparametric frontier estimation in two steps
- Variance function estimation in regression model via aggregation procedures
- Quantile inference for heteroscedastic regression models
- Nonparametric volatility prediction
- Universal kernel-type estimators for conditional variance in heteroscedastic models of nonparametric regression
- Modal volatility function
- Tests for the equality of conditional variance functions in nonparametric regression
- Nonparametric variance function estimation with missing data
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