In this paper, a local 𝑀-estimation for the conditional variance function in heteroscedastic regression models under stationary α-mixing dependent samples is developed. The local 𝑀-estimator is ...

We propose a new combined semiparametric estimator, which incorporates the parametric and nonparametric estimators of the conditional variance in a multiplicative way. We derive the asymptotic bias, ...

Engel, C., J. Frankel, Kenneth A. Froot, and T. Rodrigues. "Tests of Conditional Mean-Variance Efficiency of the U.S. Stock Market." Journal of Empirical Finance 2 (March 1995). (Revised from NBER ...

The researchers note that the Black-Scholes model was developed in the 1970s to price simple call and put options, and a key point of the model was that market makers could delta hedge – cancel out ...