A nonparametric predictive regression model using partitioning estimators based on Taylor expansions

DOI10.1111/jtsa.12668OpenAlexW4306410964MaRDI QIDQ6135346

Jose Olmo

Publication date: 24 August 2023

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://zaguan.unizar.es/record/120212

zbMATH Keywords

asymptotic theoryTaylor expansionsrealized volatilityseries estimatorstime series predictability

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx)

Cites Work

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