Comment: A Selective Overview of Nonparametric Methods in Financial Econometrics
These comments concentrate on two issues arising from Fan’s overview. The first concerns the importance of finite sample estimation bias relative to the specification and discretization biases that are emphasized in Fan’s discussion. Past research and simulations given here both reveal that finite s...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2005
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| Online Access: | https://ink.library.smu.edu.sg/soe_research/372 https://doi.org/10.1214/088342305000000430 |
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| Institution: | Singapore Management University |
| Language: | English |