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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Bibliographic Details
Main Authors: Abdelbasset Djeniah, Mohamed Chaouch, Amina Angelika Bouchentouf
Format: Article
Language:English
Published: Wiley 2025-01-01
Series:Journal of Mathematics
Online Access:http://dx.doi.org/10.1155/jom/8695947
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