IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this article

Unstable volatility: the break-preserving local linear estimator

Listed author(s):
  • Isabel Casas
  • Irene Gijbels

The objective of this paper is to introduce the break-preserving local linear (BPLL) estimator for the estimation of unstable volatility functions for independent and asymptotically independent processes. Breaks in the structure of the conditional mean and/or the volatility functions are common in Finance. Nonparametric estimators are well suited for these events due to the flexibility of their functional form and their good asymptotic properties. However, the local polynomial kernel estimators are not consistent at points where the volatility function has a break. The estimator presented in this paper generalises the classical local linear (LL). The BPLL estimator maintains the desirable properties of the LL estimator with regard to the bias and the boundary estimation while it estimates the breaks consistently. An extensive Monte Carlo study is shown as well as detailed proofs of the estimator asymptotic behaviour.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL:
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Article provided by Taylor & Francis Journals in its journal Journal of Nonparametric Statistics.

Volume (Year): 24 (2012)
Issue (Month): 4 (December)
Pages: 883-904

in new window

Handle: RePEc:taf:gnstxx:v:24:y:2012:i:4:p:883-904
DOI: 10.1080/10485252.2012.720981
Contact details of provider: Web page:

Order Information: Web:

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:taf:gnstxx:v:24:y:2012:i:4:p:883-904. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Chris Longhurst)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.