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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

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

Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance

Zhou, Yong; Wan, Alan T. K.; Xie, Shangyu; Wang, Xiaojing - In: Journal of econometrics 159 (2010) 1, pp. 183-201

Persistent link: https://www.econbiz.de/10008839929

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

Adaptive nonparametric regression with conditional heteroskedasticity

Jin, Sainan; Su, Liangjun; Xiao, Zhijie - In: Econometric theory 31 (2015) 6, pp. 1153-1191

Persistent link: https://www.econbiz.de/10011545532

Bayesian regression with nonparametric heteroskedasticity

Norets, Andriy - In: Journal of econometrics 185 (2015) 2, pp. 409-419

Persistent link: https://www.econbiz.de/10011348991

Nonparametric Generalized Least Squares in Applied Regression Analysis

O'Hara, Michael E. - 2013

variants of heteroscedasticity robust standard error estimators (HRSEs) in an applied setting. Given myriad alternative HRSEs … various approaches to handling heteroscedasticity to data on professor rankings obtained from ratemyprofessor.com and find not … only heteroscedasticity to be prevalent but NPGLS and FGLS provide different insights and the statistical significance of …

Persistent link: https://www.econbiz.de/10013077989

Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity

Linton, Oliver; Xiao, Zhijie - 2019

Persistent link: https://www.econbiz.de/10012692312

Slope heuristics and V-Fold model selection in heteroscedastic regression using strongly localized bases

Navarro, Fabien; Saumard, Adrien - 2017

Persistent link: https://www.econbiz.de/10012200026