{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,9,27]],"date-time":"2026-09-27T05:06:25Z","timestamp":1790485585729,"version":"4.1.0"},"reference-count":0,"publisher":"Cambridge University Press (CUP)","issue":"4","license":[{"start":{"date-parts":[[2002,5,17]],"date-time":"2002-05-17T00:00:00Z","timestamp":1021593600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2002,8]]},"abstract":"<jats:p>Kernel smoothing techniques free the traditional parametric \nestimators of volatility from the constraints related to their \nspecific models. In this paper the nonparametric local exponential \nestimator is applied to estimate conditional volatility functions, \nensuring its nonnegativity. Its asymptotic properties are \nestablished and compared with those for the local linear estimator. \nIt theoretically enables us to determine when the exponential \nis expected to be superior to the linear estimator. A very strong \nand novel result is achieved: the exponential estimator is \nasymptotically fully adaptive to unknown conditional mean \nfunctions. Also, our simulation study shows superior performance \nof the exponential estimator.<\/jats:p>","DOI":"10.1017\/s026646660218409x","type":"journal-article","created":{"date-parts":[[2003,10,16]],"date-time":"2003-10-16T06:06:57Z","timestamp":1066284417000},"page":"985-991","source":"Crossref","is-referenced-by-count":50,"title":["NONPARAMETRIC ESTIMATION OF VOLATILITY FUNCTIONS: THE LOCAL \nEXPONENTIAL ESTIMATOR"],"prefix":"10.1017","volume":"18","author":[{"given":"Flavio A.","family":"Ziegelmann","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2002,5,17]]},"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S026646660218409X","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,4,1]],"date-time":"2019-04-01T15:28:31Z","timestamp":1554132511000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S026646660218409X\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2002,5,17]]},"references-count":0,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2002,8]]}},"alternative-id":["S026646660218409X"],"URL":"https:\/\/doi.org\/10.1017\/s026646660218409x","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2002,5,17]]}}}