On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations
Y. Feng, S. Forstinger, C. Peitz, Journal of Statistical Computation and Simulation 86 (2015) 2291–2307.

A simple bootstrap bandwidth selector for local polynomial fitting
Y. Feng, S. Heiler, Journal of Statistical Computation and Simulation 79 (2009) 1425–1439.