A selective overview of nonparametric methods in financial econometrics

DOI10.1214/088342305000000412zbMath1130.62364arXivmath/0411034OpenAlexW1967351845MaRDI QIDQ2381754

Jianqing Fan

Publication date: 18 September 2007

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

Full work available at URL: https://arxiv.org/abs/math/0411034

zbMATH Keywords

diffusionasset pricingtransition densitysimulationsvolatilitydriftstate price densityGLR teststime-inhomogeneous model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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Uses Software

• KernSmooth

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