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A locally adaptive bandwidth selector for kernel based regression
(2009)
The selection of the smoothing parameter represents a crucial step in the
local polynomial regression, because of the implications on the consistency
of the nonparametric regression estimator and because of the difficulties ...
Parameter estimation in continuous stochastic volatility models
(2009)
Continuous-time di usion processes are often used in literature to
model dynamics of nancial markets. In such kinds of models a rel-
evant role is played by the variance of the process. So assumptions
on the functional ...