A Local Linear Least-Absolute-Deviations Estimator of Volatility
DOI10.1080/03610910802244398zbMath1152.62075OpenAlexW2028675896MaRDI QIDQ3543700
Publication date: 4 December 2008
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610910802244398
robustnesskernel smoothingheavy tailsnonparametric regressionvolatilityresidual estimatorleast absolutes
Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Monte Carlo methods (65C05)
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