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A locally adaptive bandwidth selector for kernel based regression
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
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 ...