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Adaptive estimation, Autoregression, Heterogeneity, Weighted regression

Conditional variance function, Empirical likelihood, Conditional heteroskedasticity, Jump diffusions, Local linear estimator, Heteroskedastic nonparametric regression, Volatility

Conditional variance function, Empirical likelihood, Conditional heteroskedasticity, Jump diffusion, Local linear estimator, Heteroskedastic nonparametric regression, Volatility

Conditional quantile function, Empirical likelihood, Local polynomial estimation, Nonparametric inference, Time series, Value-at-risk

Adaptive estimation, Autoregression, Heterogeneity, Weighted regression

Bootstrap, Deterministic trends, Multivariate trend function testing, Nonstationary volatility, Wild bootstrap, Variance change

Bias reduction, diffusion; empirical likelihood, local linear smoothing, local time, Nadaraya-Watson estimator, nonparametric estimation, stochastic differential equation, volatility.

CUSUM test, LM test, nonparametric volatility estimation, nonstationary volatility, volatility break

Diffusion, empirical likelihood, local linear smoothing, local time, recurrence, stochastic differential equation, volatility

Confidence interval; continuous-time models; diffusion; drift; empirical likelihood; local linear smoothing; local time; nonparametric estimation; nonstationarity; stochastic differential equation.

Empirical likelihood, Nonparametric methods, Regression discontinuity design, Treatment effect