Mean volatility regressions

zbMATH Open1349.62135MaRDI QIDQ2993349FDOQ2993349

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

Publication date: 10 August 2016

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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)

Cited In (5)

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

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