Efficient estimation for the volatility of stochastic interest rate models

DOI10.1007/s00362-020-01166-4zbMath1477.62304OpenAlexW3011323306MaRDI QIDQ2065317

Hangyan Li, Yetong Fang, Yu Ping Song

Publication date: 7 January 2022

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-020-01166-4

zbMATH Keywords

diffusion processlocal linear estimatorvolatility functionfinancial market interest rategamma asymmetric kernel

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Diffusion processes (60J60) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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