A semiparametric model of estimating volatility of diffusion processes

DOI10.1080/07362994.2013.759487MaRDI QIDQ4916956zbMATH OpenOpenAlexFDO

Authors Isao Shoji

Publication date 26 April 2013

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362994.2013.759487

zbMATH Keywords

consistent estimatediffusion coefficientsemiparametric estimationstate space modelstochastic differential equation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Inference from stochastic processes and prediction (62M20)

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Cites work

• A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
• Efficient estimation of conditional variance functions in stochastic regression
• Estimation for diffusion processes from discrete observation
• Estimation of an Ergodic Diffusion from Discrete Observations
• Fully Nonparametric Estimation of Scalar Diffusion Models
• scientific article; zbMATH DE number 991833 (Why is no real title available?)
• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• Local diffusion models for stochastic reacting systems: estimation issues in equation-free numerics
• Non‐parametric Kernel Estimation of the Coefficient of a Diffusion
• On estimating the diffusion coefficient from discrete observations

Cited in

(9)

• Semiparametric identification of the bid-ask spread in extended Roll models
• Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
• Semiparametric estimation of volatility: some models and complexity choice in the adaptive functional-coefficient class
• Semiparametric diffusion estimation and application to a stock market index
• NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS
• Estimation du coefficient de diffusion de la volatilité d'un modèle à volatilité stochastique
• Semiparametric estimation for a class of time-inhomogeneous diffusion processes
• A semiparametric stochastic volatility model
• Estimation of the volatility persistence in a discretely observed diffusion model

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