Nonparametric estimation of the conditional variance function with correlated errors
DOI10.1080/10485250601014271zbMATH Open1106.62048OpenAlexW2091469999WikidataQ57976648 ScholiaQ57976648MaRDI QIDQ3426257FDOQ3426257
Juan Manuel Vilar-Fernández, Mario Francisco-Fernández
Publication date: 8 March 2007
Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/2183/858
Recommendations
- Nonparametric variance function estimation with missing data
- Local polynomial estimators of the volatility function in nonparametric autoregression
- LOCAL POLYNOMIAL REGRESSION ESTIMATION WITH CORRELATED ERRORS
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Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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- Multivariate regression estimation: Local polynomial fitting for time series
- NONPARAMETRIC ESTIMATION OF VOLATILITY FUNCTIONS: THE LOCAL EXPONENTIAL ESTIMATOR
- LOCAL POLYNOMIAL REGRESSION ESTIMATION WITH CORRELATED ERRORS
- Bandwidth selection for the local polynomial estimator under dependence: a simulation study
Cited In (8)
- Two tests for heterocedasticity in nonparametric regression
- Nonparametric variance function estimation with missing data
- Volatility estimation in a nonlinear heteroscedastic functional regression model with martingale difference errors
- Conditional variance estimation via nonparametric generalized additive models
- Local \(M\)-estimation for conditional variance function with dependent data
- Nonparametric estimation of volatility models with serially dependent innovations
- Nonparametric conditional risk mapping under heteroscedasticity
- Nonparametric estimation for a functional-circular regression model
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