Tilted nonparametric estimation of volatility functions with empirical applications

Journal of Business and Economic Statistics

Volumn 29, Issue 4, 2011, Pages 518-528

  Xu, Ke Li ^a   Phillips, Peter C B ^b,c,d,e  

^a TEXAS A AND M UNIVERSITY   (United States)

^b YALE UNIVERSITY   (United States)

^c UNIVERSITY OF AUCKLAND BUSINESS SCHOOL   (New Zealand)

^d UNIVERSITY OF SOUTHAMPTON   (United Kingdom)

^e SINGAPORE MANAGEMENT UNIVERSITY   (Singapore)

Author keywords

Conditional heteroscedasticity; Conditional variance function; Empirical likelihood; Heteroscedastic nonparametric regression; Jump diffusion; Local linear estimator

Indexed keywords

EID: 80053609752     PISSN: 07350015     EISSN: 15372707     Source Type: Journal    
DOI: 10.1198/jbes.2011.09012     Document Type: Article

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