Scandinavian Journal of Statistics, Vol. 13, No. 3 (1986), pp. 187-197 (11 pages) Some basic properties of the class of exponential dispersion models, introduced by Jørgensen (1984), are derived, ...

Kernel smoothing techniques free the traditional parametric estimators of volatility from the constraints related to their specific models. In this paper the nonparametric local exponential estimator ...