Nonparametric estimation of the volatility function in a high-frequency model corrupted by noise
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Publication:1952081
DOI10.1214/10-EJS568zbMath1329.62366arXiv0908.3163MaRDI QIDQ1952081
Axel Munk, Johannes Schmidt-Hieber
Publication date: 27 May 2013
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0908.3163
Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: estimation (62M09)
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