Unstable volatility: the break-preserving local linear estimator
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Publication:3145404
DOI10.1080/10485252.2012.720981zbMath1284.62259OpenAlexW2094861387MaRDI QIDQ3145404
Publication date: 20 December 2012
Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10485252.2012.720981
heteroscedasticitynonlinear time serieslocal linear regressionvolatility estimationbreaks estimation
Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Nonparametric estimation (62G05)
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Uses Software
Cites Work
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