Dang, Justin; Ullah, Aman - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-12
This paper proposes a new combined semiparametric estimator of the conditional variance that takes the product of a parametric estimator and a nonparametric estimator based on machine learning. A popular kernel-based machine learning algorithm, known as the kernel-regularized least squares...