NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH

DOI10.1017/S0266466609090616zbMath1183.91189OpenAlexW3021467507MaRDI QIDQ5187622

Dennis Kristensen

Publication date: 26 February 2010

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466609090616

zbMATH Keywords

bandwidthboundary effectlocal linear estimatordrift

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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