A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation

Journal of Econometrics

Volumn 153, Issue 1, 2009, Pages 21-32

  Zhang, Xibin ^a   Brooks, Robert D ^a   King, Maxwell L ^a  

^a MONASH UNIVERSITY   (Australia)

Author keywords

Black Scholes formula; Bootstrapping; Cross validation; Markov chain Monte Carlo; Time to maturity

Indexed keywords

BLACK-SCHOLES FORMULA; BOOTSTRAPPING; CROSS-VALIDATION; MARKOV CHAIN MONTE CARLO; TIME TO MATURITY;

BAYESIAN NETWORKS; COSTS; ESTIMATION; MARKOV PROCESSES; MONTE CARLO METHODS; REGRESSION ANALYSIS;

BANDWIDTH;

EID: 70349153489     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2009.04.004     Document Type: Article

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