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Showing 1 to 1 of 1 for “"nonparametric volatility modeling"”.
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One and Two-Step Estimation of Time Variant Parameters and Nonparametric Quantiles
… and two-step smoothing methods of time variant nonparametric quantiles and time variant parameters from probability models. First, we investigate and develop nonparametric techniques for measuring extreme quantiles. The method involves aggregating data by an explanatory variable such as time and …