Semiparametric estimation of volatility: some models and complexity choice in the adaptive functional-coefficient class
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Publication:3019823
DOI10.1080/00949650903468193zbMath1270.62066MaRDI QIDQ3019823
Publication date: 29 July 2011
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949650903468193
semiparametric models; curse of dimensionality; volatility; model choice; adaptive functional-coefficient model
62P05: Applications of statistics to actuarial sciences and financial mathematics
62G05: Nonparametric estimation
65C05: Monte Carlo methods
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