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Goodness-of-"t tests for kernel regression with an application to option impliedvolatilities
Goodness-of-"t Kernel regression Speci"cation testing Implied volatility smile
2014/3/13
This paper proposes a test of a restrictedspeci"cation of regression, basedon comparing residual sum of squares from kernel regression. Our main case is where both the restrictedspeci"cation andthe ge...