Local linear estimation of second-order diffusion models
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Publication:3083789
DOI10.1080/03610920903391345zbMATH Open1208.62131OpenAlexW2043758517MaRDI QIDQ3083789FDOQ3083789
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
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Cites Work
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- Design-adaptive Nonparametric Regression
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- Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
- On estimating the diffusion coefficient from discrete observations
- Fully Nonparametric Estimation of Scalar Diffusion Models
- A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
- Inference for Observations of Integrated Diffusion Processes
- Nonparametric estimation of second-order stochastic differential equations
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
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- Re-weighted functional estimation of second-order diffusion processes
- 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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