Efficient nonparametric estimation and inference for the volatility function

@article{Giordano2019EfficientNE,
  title={Efficient nonparametric estimation and inference for the volatility function},
  author={Francesco Giordano and Maria Lucia Parrella},
  journal={Statistics},
  year={2019},
  volume={53},
  pages={770 - 791}
}
ABSTRACT In this paper we focus on nonparametric analysis of the volatility function for mixing processes. Our approach is based on local polynomial smoothing and supplies several tools which can be used to test a specific parametric model: nonparametric function estimation, nonparametric confidence intervals, and nonparametric test for symmetry. At the same time, it faces the main drawbacks of the nonparametric procedures proposed so far in the literature that are the choice of the bandwidth… 
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