Nonparametric localized bandwidth selection for kernel density estimation

DOI10.1080/07474938.2017.1397835MaRDI QIDQ5860940zbMATH OpenOpenAlexFDO

Authors Tingting Cheng, Xibin Zhang, Jiti Gao

Publication date 4 March 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL http://business.monash.edu/econometrics-and-business-statistics/research/publications/ebs/wp07-16.pdf

zbMATH Keywords

density estimationGARCH modellocalized bandwidth

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to economics (62P20)

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Cited in

(3)

• Double smoothed volatility estimation of potentially non-stationary jump-diffusion model of Shibor
• Nonparametric predictive regression for stock return prediction
• Local bandwidth selectors for deconvolution kernel density estimation

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