Fully Nonparametric Estimation of Scalar Diffusion Models
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Cited in
(only showing first 100 items - show all)- Specification testing in nonlinear and nonstationary time series autoregression
- On the functional estimation of jump-diffusion models.
- Nonparametric estimation of a scalar diffusion model from discrete time data: a survey
- Nonparametric volatility estimation in scalar diffusions: optimality across observation frequencies
- Variable bandwidth local maximum likelihood type estimation for diffusion processes
- Data driven confidence intervals for diffusion process using double smoothing empirical likelihood
- Nonparametric estimation of scalar diffusions based on low frequency data
- Nonparametric estimation of some functional with small noise diffusion processes
- Re-weighted functional estimation of second-order diffusion processes
- Nonparametric estimation of stochastic volatility models
- Reweighted Nadaraya-Watson estimation of jump-diffusion models
- Consistent nonparametric Bayesian inference for discretely observed scalar diffusions
- Nadaraya-Watson estimator for stochastic processes driven by stable Lévy motions
- Regularised forecasting via smooth-rough partitioning of the regression coefficients
- Bandwidth selection of nonparametric threshold estimator in jump-diffusion models
- Nonparametric estimation of jump diffusion models
- Efficient estimation for the volatility of stochastic interest rate models
- Asymptotic normality of convoluted smoothed kernel estimation for scalar diffusion model
- Estimation of state-dependent jump activity and drift for Markovian semimartingales
- Nonparametric range-based double smoothing spot volatility estimation for diffusion models
- Nonparametric estimation for the diffusion coefficient of multidimensional time-varying diffusion processes
- High-frequency factor models and regressions
- Nonparametric Gaussian inference for stable processes
- Spot volatility estimation using delta sequences
- An application of nonparametric volatility estimators to option pricing
- A selective overview of nonparametric methods in financial econometrics
- Comment: A selective overview of nonparametric methods in financial econometrics
- A Fourier transform method for nonparametric estimation of multivariate volatility
- Pre-averaged kernel estimators for the drift function of a diffusion process in the presence of microstructure noise
- Efficient importance sampling maximum likelihood estimation of stochastic differential equations
- A test for model specification of diffusion processes
- Flexible term structure estimation: Which method is preferred?
- An asymptotic analysis of likelihood-based diffusion model selection using high frequency data
- Empirical likelihood-based inference for nonparametric recurrent diffusions
- Nonparametric Bayesian methods for one-dimensional diffusion models
- Diffusion copulas: identification and estimation
- Threshold reweighted Nadaraya-Watson estimation of jump-diffusion models
- Specification analysis in regime-switching continuous-time diffusion models for market volatility
- Bias reduction in spot volatility estimation from options
- A simple approach to the parametric estimation of potentially nonstationary diffusions
- Estimation of stochastic volatility models by nonparametric filtering
- Maximum penalized quasi-likelihood estimation of the diffusion function
- Nonparametric estimation of volatility function with variable bandwidth parameter
- Econometric analysis of continuous time models: a survey of Peter Phillips's work and some new results
- Nonstationary nonlinearity: a survey on Peter Phillips's contributions with a new perspective
- Nonparametric estimation models of the drift vector and the diffusion matrix
- Testing the parametric specification of the diffusion function in a diffusion process
- Nonparametric estimation of second-order stochastic differential equations
- Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan
- Nonparametric estimation of diffusions: a differential equations approach
- Estimation of partial differential equations with applications in finance
- A new nonparametric estimation for diffusion function
- Specification testing in discretized diffusion models: theory and practice
- scientific article; zbMATH DE number 5910820 (Why is no real title available?)
- A two-stage realized volatility approach to estimation of diffusion processes with discrete data
- Modelling animal growth in random environments: An application using nonparametric estima\-tion
- Local linear estimation of second-order diffusion models
- Bias correction estimation for a continuous-time asset return model with jumps
- Unstable volatility: the break-preserving local linear estimator
- REX BERGSTROM’S CONTRIBUTIONS TO CONTINUOUS TIME MACROECONOMETRIC MODELING
- ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG
- Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
- Asymptotics for recurrent diffusions with application to high frequency regression
- Local linear estimation of second-order jump-diffusion model
- Nonlinear continuous time modeling approaches in panel research
- Least Squares Volatility Change Point Estimation for Partially Observed Diffusion Processes
- Reweighted functional estimation of diffusion models
- ELECTRICITY PRICES: A NONPARAMETRIC APPROACH
- NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS
- Volatility occupation times
- Estimation in semi-parametric regression with non-stationary regressors
- What drives short rate dynamics? A functional gradient descent approach
- A specification test for nonlinear nonstationary models
- Local M-estimation for jump-diffusion processes
- Bias reduction in nonparametric diffusion coefficient estimation
- On the functional estimation of multivariate diffusion processes
- Adaptive nonparametric drift estimation of an integrated jump diffusion process
- A two-step estimation of diffusion processes using noisy observations
- Asymptotically distribution-free tests for the volatility function of a diffusion
- Local linear estimator for stochastic differential equations driven by \(\alpha\)-stable Lévy motions
- Local Linear Estimation of Recurrent Jump—Diffusion Models
- A semiparametric model of estimating volatility of diffusion processes
- A nonparametric approach to the estimation of jump-diffusion models with asymmetric kernels
- Double-smoothed drift estimation of jump-diffusion model
- Nonparametric nonstationarity tests
- Nonparametric estimation of volatility function in the jump-diffusion model with noisy data
- Estimation of volatility functions in jump diffusions using truncated bipower increments
- Double smoothed volatility estimation of potentially non-stationary jump-diffusion model of Shibor
- Convoluted smoothed kernel estimation for drift coefficients in jump-diffusion models
- Central limit theorems of range-based estimators for diffusion models
- Jump-robust volatility estimation using dynamic dual-domain integration method
- Variance reduction approach for the volatility over a finite-time horizon
- NON‐PARAMETRIC ESTIMATION OF HIGH‐FREQUENCY SPOT VOLATILITY FOR BROWNIAN SEMIMARTINGALE WITH JUMPS
- Nonparametric filtering of the realized spot volatility: a kernel-based approach
- G-M integrated type instantaneous volatility estimation
- Local M-estimation for conditional variance in heteroscedastic regression models
- Non Parametric Estimation of Second-Order Diffusion Equation by Using Asymmetric Kernels
- Time-varying leverage effects
- Bias in the estimation of the mean reversion parameter in continuous time models
- Stationarity-based specification tests for diffusions when the process is nonstationary
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