Local multiplicative bias correction for asymmetric kernel density estimators

Author:

Hagmann M.,Scaillet O.

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference44 articles.

1. Optimal asymmetric kernels;Abadir;Economics Letters,2004

2. On bandwidth variation in kernel estimates—a square root law;Abramson;The Annals of Statistics,1982

3. Nonparametric pricing of interest rate derivative securities;Aı¨t-Sahalia;Econometrica,1996

4. Continuous-time models of the spot interest rate;Aı¨t-Sahalia;The Review of Financial Studies,1996

5. On some global measures of the deviations of density function estimates;Bickel;The Annals of Statistics,1973

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