On estimating the diffusion coefficient from discrete observations
From MaRDI portal
Cited in
(only showing first 100 items - show all)- Stochastic regression and its application to hedging in finance
- Minimax estimation of the diffusion coefficient through irregular samplings
- Estimating diffusion coefficients from count data: Einstein-Smoluchowski theory revisited
- Financial options and statistical prediction intervals
- Adaptive estimation in diffusion processes.
- Parameter estimation in mean reversion processes with deterministic long-term trend
- 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
- Statistical estimation of the oscillating Brownian motion
- Data driven confidence intervals for diffusion process using double smoothing empirical likelihood
- Approximation of the occupation measure of Lévy processes
- Conservative delta hedging.
- Nonparametric estimation of stochastic volatility models
- Reweighted Nadaraya-Watson estimation of jump-diffusion models
- Approximation of occupation time functionals
- Bandwidth selection of nonparametric threshold estimator in jump-diffusion models
- Nonparametric estimation of jump diffusion models
- Optimal estimation of the supremum and occupation times of a self-similar Lévy process
- Adaptive efficient analysis for big data ergodic diffusion models
- Asymptotic normality of convoluted smoothed kernel estimation for scalar diffusion model
- Parametric inference for diffusions observed at stopping times
- Gaussian estimation of one-factor mean reversion processes
- Nonparametric Gaussian inference for stable processes
- Spot volatility estimation using delta sequences
- An application of nonparametric volatility estimators to option pricing
- Identifying the diffusion coefficient by optimization from the final observation
- A selective overview of nonparametric methods in financial econometrics
- A Fourier transform method for nonparametric estimation of multivariate volatility
- Smoothing and occupation measures of stochastic processes
- Penalized nonparametric mean square estimation of the coefficients of diffusion processes
- Wavelet estimation of the diffusion coefficient in time dependent diffusion models
- Transformation invariant stochastic catastrophe theory
- Empirical likelihood-based inference for nonparametric recurrent diffusions
- On a set of data for the membrane potential in a neuron
- A relaxed cutting plane algorithm for solving the Vasicek-type forward interest rate model
- Threshold reweighted Nadaraya-Watson estimation of jump-diffusion models
- Parameter least-squares estimation for time-inhomogeneous Ornstein-Uhlenbeck process
- A simple approach to the parametric estimation of potentially nonstationary diffusions
- Asymptotic properties of Monte Carlo estimators of diffusion processes
- A mathematical theory of financial bubbles
- Maximum penalized quasi-likelihood estimation of the diffusion function
- Econometric analysis of continuous time models: a survey of Peter Phillips's work and some new results
- Nonparametric estimation of second-order stochastic differential equations
- Modelling animal growth in random environments: An application using nonparametric estima\-tion
- Can One Validly Use Classical Statistical Inference in Open Quantum Systems?
- 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
- Reweighted functional estimation of diffusion models
- ELECTRICITY PRICES: A NONPARAMETRIC APPROACH
- NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS
- On the resolution of the Vasicek-type interest rate model
- Volatility occupation times
- On a family of test statistics for discretely observed diffusion processes
- Estimating the diffusion coefficient function for a diversified world stock index
- scientific article; zbMATH DE number 1474215 (Why is no real title available?)
- ANOVA for diffusions and Itō processes
- Online kernel estimation of stationary stochastic diffusion models
- 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
- A Hybrid Model for Pricing and Hedging of Long-dated Bonds
- On estimating the diffusion coefficient
- scientific article; zbMATH DE number 849067 (Why is no real title available?)
- Local Linear Estimation of Recurrent Jump—Diffusion Models
- A semiparametric model of estimating volatility of diffusion processes
- Predicting integrals of diffusion processes with unknown diffusion parameters
- Double-smoothed drift estimation of jump-diffusion model
- Nonparametric estimation of volatility function in the jump-diffusion model with noisy data
- The lifetime of a financial bubble
- 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
- Model-adaptive optimal discretization of stochastic integrals
- Applying the local martingale theory of bubbles to cryptocurrencies
- Motoneuron membrane potentials follow a time inhomogeneous jump diffusion process
- Nonparametric filtering of the realized spot volatility: a kernel-based approach
- Uniform convergence rates of kernel-based nonparametric estimators for continuous time diffusion processes: a damping function approach
- A tractable model for indices approximating the growth optimal portfolio
- Is a Brownian Motion Skew?
- Local linear estimation of jump-diffusion models by using asymmetric kernels
- Estimating the diffusion coefficient for diffusions driven by fBm
- Truncated dynamics and estimation of diffusion equations
- Do option markets correctly price the probabilities of movement of the underlying asset?
- Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models
- Nonparametric two-step estimation of drift function in the jump-diffusion model with noisy data
- Uniform and L_p convergences for nonparametric continuous time regressions with semiparametric applications
- Nonparametric estimation for SDE with sparsely sampled paths: an FDA perspective
- HOW LARGE IS THE JUMP DISCONTINUITY IN THE DIFFUSION COEFFICIENT OF A TIME-HOMOGENEOUS DIFFUSION?
- Martingale defects in the volatility surface and bubble conditions in the underlying
- Optimal estimation of the local time and the occupation time measure for an -stable Lévy process
- Reconstructing unknown coefficients of stochastic differential equations and intelligently predicting random processes with directed learning
- Non parametric estimation of transition density for second-order diffusion processes
- Nonparametric estimation of the diffusion coefficient from i.i.d. S.D.E. paths
- Parametric inference for diffusion processes observed at discrete points in time: a survey
- Estimation of continuous-time linear DSGE models from discrete-time measurements
- Environment reconstruction for a class of diffusions
- Rates of convergence to the local time of oscillating and skew Brownian motion
This page was built for publication: On estimating the diffusion coefficient from discrete observations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4280650)
