Similar Search Results

Improvized implied volatility function and nonparametric approach to unbiased estimation

Muhammad, Atif Sattar; Zhang, Hailiang; Kanwal, Samra; … - In: International journal of financial engineering 10 (2023) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10014251229

Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form

Coudin, Elise; Dufour, Jean-Marie - In: The econometrics journal 12 (2009), pp. 19-49

Persistent link: https://www.econbiz.de/10003876273

Bayesian regression with heteroscedastic error density and parametric mean function

Pelenis, Justinas - In: Journal of econometrics 178 (2014) 1, pp. 624-638

Persistent link: https://www.econbiz.de/10010257372

Construction of automatic confidence intervals in nonparametric heteroscedastic regression by a moment-oriented bootstrap

Sommerfeld, Volker - 1997

We construct pointwise confidence intervals for regression functions. The method uses nonparametric kernel estimates and the "moment-oriented" bootstrap method of Bunke which is a wild bootstrap based on smoothed local estimators of higher order error moments. We show that our bootstrap...

Persistent link: https://www.econbiz.de/10009632602