Goodness-of-fit tests for kernel regression with an application to option implied volatilities

A-Tier

Journal: Journal of Econometrics

Year: 2001

Volume: 105

Issue: 2

Pages: 363-412

Authors (3)

Ait-Sahalia, Yacine (Princeton University) Bickel, Peter J. (not in RePEc) Stoker, Thomas M. (not in RePEc)

Score contribution per author:

1.341 = (α=2.01 / 3 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count