Data driven confidence intervals for diffusion process using double smoothing empirical likelihood
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Cites work
- A perturbed risk process compounded by a geometric Brownian motion with a dividend barrier strategy
- A theory of the term structure of interest rates
- An optimal portfolio model with stochastic volatility and stochastic interest rate
- Asymptotic results for a Markov-modulated risk process with stochastic investment
- Bandwidth selection of nonparametric threshold estimator in jump-diffusion models
- Capped stock loans
- DG framework for pricing European options under one-factor stochastic volatility models
- Empirical likelihood
- Empirical likelihood and general estimating equations
- Empirical likelihood based inference for second-order diffusion models
- Empirical likelihood for composite quantile regression modeling
- Empirical likelihood inference for diffusion processes with jumps
- Empirical likelihood ratio confidence intervals for a single functional
- Empirical likelihood ratio confidence regions
- Empirical likelihood-based inference for nonparametric recurrent diffusions
- Fully Nonparametric Estimation of Scalar Diffusion Models
- Intentionally Biased Bootstrap Methods
- Mean-variance portfolio selection with correlation risk
- Nonparametric Pricing of Interest Rate Derivative Securities
- On estimating the diffusion coefficient from discrete observations
- Optimal strategies for asset allocation and consumption under stochastic volatility
- Pricing weather derivatives with partial differential equations of the Ornstein-Uhlenbeck process
- Probability density function estimation using gamma kernels
- Reweighted functional estimation of diffusion models
- Simulation of stochastic differential equation of geometric Brownian motion by quasi-Monte Carlo method and its application in prediction of total index of stock market and value at risk
- Testing for expected return and market price of risk in Chinese A and B share markets: A geometric Brownian motion and multivariate GARCH model approach
- The \(CEV\) model and its application to financial markets with volatility uncertainty
Cited in
(16)- Discrete majorization type inequalities for convex functions on rectangles
- Improvements of bounds for the Sándor-Yang means
- Optimal two-parameter geometric and arithmetic mean bounds for the Sándor-Yang mean
- A note on generalized convex functions
- Some new fractional integral inequalities for exponentially \(m\)-convex functions via extended generalized Mittag-Leffler function
- Monotonicity properties and bounds involving the two-parameter generalized Grötzsch ring function
- Optimal bounds for Toader mean in terms of general means
- New Hermite-Hadamard type inequalities for n-polynomial harmonically convex functions
- Monotonicity, convexity and inequalities involving the generalized elliptic integrals
- A sharp lower bound for the complete elliptic integrals of the first kind
- Sharp bounds for the weighted Hölder mean of the zero-balanced generalized complete elliptic integrals
- Sharp power mean bounds for the lemniscate type means
- Approximation for the complete elliptic integral of the first kind
- Empirical likelihood based inference for second-order diffusion models
- Empirical likelihood inference for diffusion processes with jumps
- A family of high order approximations of Ramanujan type for perimeter of an ellipse
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