Local linear estimation of second-order diffusion models

DOI10.1080/03610920903391345MaRDI QIDQ3083789zbMATH OpenOpenAlexFDO

Authors Zhengyan Lin, Hanchao Wang

Publication date 23 March 2011

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610920903391345

zbMATH Keywords

N-W estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05)

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Cites work

• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• scientific article; zbMATH DE number 1478492 (Why is no real title available?)
• A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
• Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
• Design-adaptive Nonparametric Regression
• Fully Nonparametric Estimation of Scalar Diffusion Models
• Inference for Observations of Integrated Diffusion Processes
• Local linear regression smoothers and their minimax efficiencies
• Nonparametric estimation of second-order stochastic differential equations
• On estimating the diffusion coefficient from discrete observations

Cited in

(17)

• Estimation for a second-order jump diffusion model from discrete observations: application to stock market returns
• Non parametric bias reduction of diffusion coefficient in integrated diffusion processes
• Convoluted smoothed kernel estimation for drift coefficients in jump-diffusion models
• Double-smoothed drift estimation of jump-diffusion model
• Re-weighted functional estimation of second-order diffusion processes
• scientific article; zbMATH DE number 6454114 (Why is no real title available?)
• Local Linear Estimation of Recurrent Jump—Diffusion Models
• Variance reduction approach for the volatility over a finite-time horizon
• Bias correction estimation for a continuous-time asset return model with jumps
• Double smoothed volatility estimation of potentially non-stationary jump-diffusion model of Shibor
• Strong consistency of parameter estimation for the CIR integrated diffusion process with long-span high-frequency data
• Local linear estimation of second-order jump-diffusion model
• Moment inequalities for mixing long-span high-frequency data and strongly consistent estimation of OU integrated diffusion process
• Local linear estimator for stochastic differential equations driven by \(\alpha\)-stable Lévy motions
• Variance reduction estimation for return models with jumps using gamma asymmetric kernels
• A test for a parametric form of the volatility in second-order diffusion models
• Strong consistency of nonparametric kernel estimators for integrated diffusion process

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