Goodness-of-fit tests for kernel regression with an application to option implied volatilities

Journal of Econometrics

Volumn 105, Issue 2, 2001, Pages 363-412

  Aït Sahalia, Yacine ^a   Bickel, Peter J ^b   Stoker, Thomas M ^c  

^a PRINCETON UNIVERSITY   (United States)

^b UNIVERSITY OF CALIFORNIA   (United States)

^c MASSACHUSETTS INSTITUTE OF TECHNOLOGY   (United States)

Author keywords

Goodness of fit; Implied volatility smile; Kernel regression; Specification testing

Indexed keywords

EID: 18044402907     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(01)00091-4     Document Type: Article

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