Semiparametric estimation of volatility: some models and complexity choice in the adaptive functional-coefficient class

DOI10.1080/00949650903468193zbMath1270.62066OpenAlexW2096366831MaRDI QIDQ3019823

Flávio Augusto Ziegelmann

Publication date: 29 July 2011

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949650903468193

zbMATH Keywords

semiparametric modelscurse of dimensionalityvolatilitymodel choiceadaptive functional-coefficient model

Mathematics Subject Classification ID

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