A Reexamination of Diffusion Estimators With Applications to Financial Model Validation

DOI10.1198/016214503388619157zbMath1073.62571OpenAlexW1985285727MaRDI QIDQ4468530

Chunming Zhang, Jianqing Fan

Publication date: 10 June 2004

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1198/016214503388619157

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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