Variance reduction estimation for return models with jumps using gamma asymmetric kernels

DOI10.1515/snde-2018-0001OpenAlexW2939924526WikidataQ128085948 ScholiaQ128085948MaRDI QIDQ2697059

Shengyi Zhou, Weijie Hou, Yu Ping Song

Publication date: 17 April 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2018-0001

zbMATH Keywords

Nadaraya-Watson estimatorhigh frequency financial datacontinuous-time return modelresistance to sparse designvariance and bias reduction

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (1)

Asymptotic properties of Dirichlet kernel density estimators

Cites Work

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