Mean volatility regressions

MaRDI QIDQ2993349zbMATH OpenFDO

Authors Lu Lin, Feng Li, Li-Xing Zhu, Wolfgang K. Härdle

Publication date 10 August 2016

zbMATH Keywords

semiparametric regressionrandom systemsnon-random systemsvariance built-in mean

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Analysis of variance and covariance (ANOVA) (62J10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(5)

• Volatility puzzles: a simple framework for gauging return-volatility regressions
• MEAN-REVERTING STOCHASTIC VOLATILITY
• On the use of high frequency measures of volatility in MIDAS regressions
• Terminal-dependent statistical inference for the integral form of FBSDE
• Statistical decomposition of volatility

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