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Efficient estimation of conditional variance functions in stochastic regression
7 references·16 citing·40 second hop
Efficient estimation of conditional variance functions in stochastic regression (1998)Efficient estimation of conditional varia…Estimating continuous-time stochastic volatility models of the short-term interest rate (1997)Estimating continuous-time st…A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)A Nonparametric Model of Term…Nonparametric Pricing of Interest Rate Derivative Securities (1995)Nonparametric Pricing of Inte…An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992)An Empirical Comparison of Al…Signal-to-Noise Ratios, Performance Criteria, and Transformations (1988)Signal-to-Noise Ratios, Perfo…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Nonparametric least squares methods for stochastic frontier models 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this work references cited by second hop

References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate1,679 cited
  • 1988Signal-to-Noise Ratios, Performance Criteria, and Transformations606 cited
  • 1997A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk548 cited
  • 1995Nonparametric Pricing of Interest Rate Derivative Securities546 cited
  • 1997Estimating continuous-time stochastic volatility models of the short-term interest rate500 cited

Cited by

  • 2012How to measure the impact of environmental factors in a nonparametric production model280 cited
  • 2012Efficient Semiparametric Estimation of the Fama-French Model and Extensions186 cited
  • 2003A Reexamination of Diffusion Estimators With Applications to Financial Model Validation172 cited
  • 2005Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing Methods1141 cited
  • 2005A Selective Overview of Nonparametric Methods in Financial Econometrics135 cited
  • 2009Local Polynomial Estimation for Sensitivity Analysis on Models With Correlated Inputs125 cited
  • 2011Functional data analysis for volatility

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104 cited
  • 2004Nonparametric estimation of scalar diffusions based on low frequency data102 cited
  • 2012Nonparametric identification in nonseparable panel data models with generalized fixed effects88 cited
  • 2016Nonparametric least squares methods for stochastic frontier models83 cited
  • 2012Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond74 cited
  • 2003Time-dependent diffusion models for term structure dynamics69 cited
  • 2016NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY68 cited
  • 2002NONPARAMETRIC ESTIMATION OF VOLATILITY FUNCTIONS: THE LOCAL EXPONENTIAL ESTIMATOR64 cited
  • 2010Information and Industry Dynamics62 cited
  • 2012Non‐parametric detection and estimation of structural change57 cited