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Search: subject:"Conditional variance function"
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Conditional heteroskedasticity
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Conditional variance function
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Empirical likelihood
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Heteroskedastic nonparametric regression
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Jump diffusion
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Local linear estimator
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Phillips, Peter C.B.
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Xu, Ke-Li
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Cowles Foundation for Research in Economics, Yale University
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Tilted Nonparametric Estimation of Volatility Functions
Phillips, Peter C.B.
;
Xu, Ke-Li
-
Cowles Foundation for Research in Economics, Yale University
-
2007
This paper proposes a novel positive nonparametric estimator of the
conditional
variance
function
without reliance on …
Persistent link: https://www.econbiz.de/10005093922
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