Vilar, Juan M.Francisco-Fernández, Mario2007-06-272007-06-272006Journal of nonparametric statistics, vol. 18 (2006), n. 4-6, pp. 375-391.1048-5252http://hdl.handle.net/2183/858application/pdfengThis is a preprint of an article submitted for consideration in the Journal of nonparametric statistics © 2006 copyright Taylor & Francis ; Journal of nonparametric statistics is available online at: http://www.informaworld.com/Autoregressive processHeterocedasticityLocal polynomialsVolatilityNonparametric estimation of the conditional variance function with correlated errorspreprintopen access