Nonparametric estimation of volatility function with variable bandwidth parameter

DOI10.1080/03610926.2011.650266MaRDI QIDQ2873949zbMATH OpenOpenAlexFDO

Authors Xu-Guo Ye, Nengxiang Ling

Publication date 28 January 2014

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2011.650266

zbMATH Keywords

local linear estimatoroptimal bandwidthvariable smoothing parametervolatility function

Mathematics Subject Classification ID

Diffusion processes (60J60) Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20)

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Cites work

• A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
• A selective overview of nonparametric methods in financial econometrics
• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Dynamic Integration of Time- and State-Domain Methods for Volatility Estimation
• Estimators of diffusions with randomly spaced discrete observations: a general theory
• Fully Nonparametric Estimation of Scalar Diffusion Models
• Local polynomial estimators of the volatility function in nonparametric autoregression
• NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS
• Nonparametric Pricing of Interest Rate Derivative Securities
• On bandwidth variation in kernel estimates. A square root law
• On the bias of variable bandwidth curve estimators
• The Effects of Random and Discrete Sampling when Estimating Continuous-Time Diffusions
• Variable bandwidth and local linear regression smoothers
• Variable window width kernel estimates of probability densities

Cited in

(3)

• Variable bandwidth local maximum likelihood type estimation for diffusion processes
• Optimal kernel estimation of spot volatility of stochastic differential equations
• Nonparametric Volatility Estimation on the Real Line from Low Frequency Data

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