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  2. Nonparametric State-Price Density Estimation using High Frequency…

    https://www.cerf.cam.ac.uk/system/files/documents/Nonparametric-State-Price-Density-Dalderop-Updated-2016.pdf
    estimator we do not condition on them and instead derive the unconditional distribution. ... A natural estimator for m() at the design point (t,x) is the Nadaraya-Watson (or locally constant).

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