Functional Conditional Volatility Modeling With Missing Data: Inference and Application to Energy Commodities
This paper explores the nonparametric estimation of the volatility component in a heteroscedastic scalar-on-function regression model, where the underlying discrete-time process is ergodic and subject to a missing-at-random mechanism. We first propose a simplified estimator for the regression and vo...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2025-01-01
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| Series: | Journal of Mathematics |
| Online Access: | http://dx.doi.org/10.1155/jom/8695947 |
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