Nonparametric Estimation of Volatility Function with Variable Bandwidth Parameter

DOI10.1080/03610926.2011.650266zbMath1401.60154OpenAlexW2046981056MaRDI QIDQ2873949

Nengxiang Ling, Xu-Guo Ye

Publication date: 28 January 2014

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2011.650266

zbMATH Keywords

local linear estimatoroptimal bandwidthvolatility functionvariable smoothing parameter

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Diffusion processes (60J60)

Cites Work

• Variable window width kernel estimates of probability densities
• Variable bandwidth and local linear regression smoothers
• Local polynomial estimators of the volatility function in nonparametric autoregression
• Estimators of diffusions with randomly spaced discrete observations: a general theory
• On bandwidth variation in kernel estimates. A square root law
• A selective overview of nonparametric methods in financial econometrics
• A Theory of the Term Structure of Interest Rates
• On the bias of variable bandwidth curve estimators
• NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS
• A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
• Nonparametric Pricing of Interest Rate Derivative Securities
• Dynamic Integration of Time- and State-Domain Methods for Volatility Estimation
• An equilibrium characterization of the term structure
• Fully Nonparametric Estimation of Scalar Diffusion Models
• The Effects of Random and Discrete Sampling when Estimating Continuous-Time Diffusions

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