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stat.ME2017★ 3 cited
A fast subsampling method for estimating the distribution of signal-to-noise ratio statistics in nonparametric time series regression models
Francesco Giordano, Pietro Coretto
Signal-to-noise ratio (SNR) statistics play a central role in many applications. A common situation where SNR is studied is when a continuous time signal is sampled at a fixed freq…
stat.ME2016
Efficient nonparametric estimation and inference for the volatility function
Francesco Giordano, Maria Lucia Parrella
During the last decades there has been increasing interest in modeling the volatility of financial data. Several parametric models have been proposed to this aim, starting from ARC…