Estimating the diffusion coefficient function for a diversified world stock index

DOI10.1016/J.CSDA.2011.10.004MaRDI QIDQ434882zbMATH OpenOpenAlexFDO

Authors Katja Ignatieva, Eckhard Platen

Publication date 16 July 2012

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2011.10.004

zbMATH Keywords

nonparametric estimationkernel densitydiffusion coefficient functiondiversified world stock indexsquare root process

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cited in

(11)

• Inference on an heteroscedastic Gompertz tumor growth model
• Nonparametric Bayesian volatility learning under microstructure noise
• A Hybrid Model for Pricing and Hedging of Long-dated Bonds
• Semiparametric diffusion estimation and application to a stock market index
• A tractable model for indices approximating the growth optimal portfolio
• Jump-robust volatility estimation using dynamic dual-domain integration method
• MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX
• A mathematical analysis of the Gumbel test for jumps in stochastic volatility models
• Nonparametric estimation of volatility function in the jump-diffusion model with noisy data
• Intensity-based premium evaluation for unemployment insurance products
• Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient

Describes a project that uses

Uses Software

• KernSmooth
• MASS (R)
• R

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