A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
From MaRDI portal
Recommendations
Cited in
(94)- On the applicability of stochastic volatility models
- Efficient modeling and inference for event-related fMRI data
- Nonparametric modelling of interest rates.
- A goodness-of-fit test for functional time series with applications to Ornstein-Uhlenbeck processes
- Sizes of two bootstrap-based nonparametric specification tests for the drift function in continuous time models
- Learning interacting particle systems: diffusion parameter estimation for aggregation equations
- A new delta expansion for multivariate diffusions via the Itô-Taylor expansion
- Goodness-of-fit test for interest rate models: an approach based on empirical processes
- Local M-estimation for jump-diffusion processes
- Nonparametric density estimation for positive time series
- Semiparametric estimation of Value at Risk
- Quasi‐maximum likelihood estimation of discretely observed diffusions
- Online kernel estimation of stationary stochastic diffusion models
- Parameter estimation and bias correction for diffusion processes
- Convoluted smoothed kernel estimation for drift coefficients in jump-diffusion models
- Double-smoothed drift estimation of jump-diffusion model
- Re-weighted functional estimation of second-order diffusion processes
- Nonparametric inference with generalized likelihood ratio tests (With comments and rejoinder)
- Jump‐robust testing of volatility functions in continuous time models
- An adaptive empirical likelihood test for parametric time series regression models
- Uniform convergence rates of kernel-based nonparametric estimators for continuous time diffusion processes: a damping function approach
- Estimation of partial differential equations with applications in finance
- Econometric estimation in long-range dependent volatility models: theory and practice
- Specification testing in discretized diffusion models: theory and practice
- Minimum distance estimation and testing for interest rate models
- Local Linear Estimation of Recurrent Jump—Diffusion Models
- Goodness-of-fit based on downsampling with applications to linear drift diffusions
- Semi-Parametric Estimation for Forward–Backward Stochastic Differential Equations
- Sharp adaptive estimation of the drift function for ergodic diffusions
- A transformation approach to modelling multi-modal diffusions
- ADAPTIVE TESTING IN CONTINUOUS-TIME DIFFUSION MODELS
- Estimation and specification test for diffusion models with stochastic volatility
- NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS
- Variance reduction approach for the volatility over a finite-time horizon
- Likelihood-based estimation of a semiparametric time-dependent jump diffusion model of the short-term interest rate
- On the approximate maximum likelihood estimation for diffusion processes
- Empirical‐process‐based specification tests for diffusion models
- On the functional estimation of multivariate diffusion processes
- Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
- A nonparametric model for high-frequency energy prices
- scientific article; zbMATH DE number 797362 (Why is no real title available?)
- Simultaneous nonparametric inference of time series
- A two-step estimation of diffusion processes using noisy observations
- Consistent estimation in regression models for the drift function in some continuous time models
- Minimax rates of convergence for the nonparametric estimation of the diffusion coefficient from time-homogeneous SDE paths
- Empirical likelihood inference for diffusion processes with jumps
- Reweighted Nadaraya-Watson estimation of jump-diffusion models
- Local linear estimation of jump-diffusion models by using asymmetric kernels
- Asymptotic normality of bias reduction estimation for jump intensity function in financial markets
- Testing for the presence of jump components in jump diffusion models
- Parameter estimation and model testing for Markov processes via conditional characteristic functions
- A semiparametric model of estimating volatility of diffusion processes
- NONPARAMETRIC STOCHASTIC VOLATILITY
- A nonparametric specification test for the volatility functions of diffusion processes
- Jump-robust volatility estimation using dynamic dual-domain integration method
- Nonparametric estimation of jump diffusion models
- Nonparametric estimation of volatility function with variable bandwidth parameter
- Local linear estimation of second-order jump-diffusion model
- Asymptotic normality of convoluted smoothed kernel estimation for scalar diffusion model
- scientific article; zbMATH DE number 2042814 (Why is no real title available?)
- Bias reduction estimation for drift coefficient in diffusion models with jumps
- Geometric analysis of nonlinear dynamics in application to financial time series
- Efficient estimation for the volatility of stochastic interest rate models
- Terminal-Dependent Statistical Inferences for FBSDE
- Nonparametric estimation of scalar diffusions based on low frequency data
- Inference methods for discretely observed continuous-time stochastic volatility models: A commented overview
- Local polynomial estimations of time-varying coefficients for local stationary diffusion models
- Non Parametric Estimation of Second-Order Diffusion Equation by Using Asymmetric Kernels
- Asymptotically distribution-free tests for the volatility function of a diffusion
- A test for model specification of diffusion processes
- An empirical analysis of the volatility of the Japanese stock price index: a non-parametric approach
- Testing diffusion processes for non-stationarity
- A selective overview of nonparametric methods in financial econometrics
- Local linear estimator for stochastic differential equations driven by \(\alpha\)-stable Lévy motions
- A loss function approach to model specification testing and its relative efficiency
- Local linear estimation for stochastic processes driven by -stable Lévy motion
- Existence, uniqueness, and global attractivity of positive solutions and MLE of the parameters to the logistic equation with random perturbation
- Nonparametric estimation of volatility function in the jump-diffusion model with noisy data
- Uniform and L_p convergences for nonparametric continuous time regressions with semiparametric applications
- Distribution-free specification test for volatility function based on high-frequency data with microstructure noise
- Estimation of volatility functions in jump diffusions using truncated bipower increments
- Nonparametric estimation of a scalar diffusion model from discrete time data: a survey
- A test for a parametric form of the volatility in second-order diffusion models
- An updated review of goodness-of-fit tests for regression models
- Nadaraya-Watson estimator for stochastic processes driven by stable Lévy motions
- Nonparametric estimation for FBSDEs models with applications in finance
- Reweighted functional estimation of diffusion models
- Local linear estimation of second-order diffusion models
- State-domain change point detection for nonlinear time series regression
- Parametric and nonparametric models and methods in financial econometrics
- Terminal-dependent statistical inference for the integral form of FBSDE
- Simultaneous specification testing of mean and variance structures in nonlinear time series regression
- Variable bandwidth local maximum likelihood type estimation for diffusion processes
- Empirical likelihood-based inference for nonparametric recurrent diffusions
This page was built for publication: A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4468530)