Nonparametric Estimation Of Volatility Functions: The Local Exponential Estimator
No abstract is available for this item.
Volume (Year): 18 (2002)
Issue (Month): 04 (August)
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- Ke-Li Xu & Peter C. B. Phillips, 2011.
"Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications,"
Journal of Business & Economic Statistics,
Taylor & Francis Journals, vol. 29(4), pages 518-528, October.
- Xu, Ke-Li & Phillips, Peter C. B., 2011. "Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(4), pages 518-528.
- Kapetanios, George, 2007. "Estimating deterministically time-varying variances in regression models," Economics Letters, Elsevier, vol. 97(2), pages 97-104, November.
- Xu, Ke-Li, 2010. "Reweighted Functional Estimation Of Diffusion Models," Econometric Theory, Cambridge University Press, vol. 26(02), pages 541-563, April.
- Woocheol Kim & Oliver Linton, 2003. "A Local Instrumental Variable Estimation Method for Generalized Additive Volatility Models," STICERD - Econometrics Paper Series 456, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
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- Woocheol Kim & Oliver Linton, 2004. "A local instrumental variable estimation method for generalized additive volatility models," LSE Research Online Documents on Economics 24758, London School of Economics and Political Science, LSE Library.
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- Léopold Simar & Ingrid Keilegom & Valentin Zelenyuk, 2017. "Nonparametric least squares methods for stochastic frontier models," Journal of Productivity Analysis, Springer, vol. 47(3), pages 189-204, June.
- Leopold Simar & Ingrid Van Keilegom & Valentin Zelenyuk, 2014. "Nonparametric Least Squares Methods for Stochastic Frontier Models," CEPA Working Papers Series WP032014, School of Economics, University of Queensland, Australia.
- Bădin, Luiza & Daraio, Cinzia & Simar, Léopold, 2012. "How to measure the impact of environmental factors in a nonparametric production model," European Journal of Operational Research, Elsevier, vol. 223(3), pages 818-833.
- Peter C.B. Phillips & Ke-Li Xu, 2007. "Tilted Nonparametric Estimation of Volatility Functions," Cowles Foundation Discussion Papers 1612, Cowles Foundation for Research in Economics, Yale University, revised Jul 2010.
- Pérez-González, A. & Vilar-Fernández, J.M. & González-Manteiga, W., 2010. "Nonparametric variance function estimation with missing data," Journal of Multivariate Analysis, Elsevier, vol. 101(5), pages 1123-1142, May.
- Ye, Xu-Guo & Lin, Jin-Guan & Zhao, Yan-Yong & Hao, Hong-Xia, 2015. "Two-step estimation of the volatility functions in diffusion models with empirical applications," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 135-159.
- Isabel Casas & Irene Gijbels, 2009. "Unstable volatility functions: the break preserving local linear estimator," CREATES Research Papers 2009-48, Department of Economics and Business Economics, Aarhus University.
- repec:sbe:breart:v:33:y:2013:i:2:a:26508 is not listed on IDEAS
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