Estimating the diffusion coefficient function for a diversified world stock index
DOI10.1016/J.CSDA.2011.10.004zbMATH Open1242.91215OpenAlexW2006677804MaRDI QIDQ434882FDOQ434882
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
Recommendations
- Semiparametric diffusion estimation and application to a stock market index
- Nonparametric estimation for the diffusion coefficient of multidimensional time-varying diffusion processes
- \(L_p\) estimation of the diffusion coefficient
- Estimation of diffusion parameters for discretely observed diffusion processes
- Non parametric estimation of the diffusion coefficient of a diffusion process
nonparametric estimationkernel densitydiffusion coefficient functiondiversified world stock indexsquare root process
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Cites Work
- Statistical Analysis of Financial Data in S-Plus
- Title not available (Why is that?)
- The pricing of options and corporate liabilities
- Title not available (Why is that?)
- The jackknife and the bootstrap for general stationary observations
- Title not available (Why is that?)
- A Brief Survey of Bandwidth Selection for Density Estimation
- Title not available (Why is that?)
- Nonparametric and semiparametric models.
- An Intertemporal Capital Asset Pricing Model
- Title not available (Why is that?)
- Title not available (Why is that?)
- Adaptive estimation in diffusion processes.
- On estimating the diffusion coefficient from discrete observations
- Nonparametric Pricing of Interest Rate Derivative Securities
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Maximum penalized likelihood estimation. Vol. 1: Density estimation
- Empirical evidence on Student-\(t\) log-returns of diversified world stock indices
- Title not available (Why is that?)
- Arbitrage in continuous complete markets
- Maximum penalized quasi-likelihood estimation of the diffusion function
- Non parametric estimation of the diffusion coefficient of a diffusion process
- Title not available (Why is that?)
- Simulation of diversified portfolios in continuous financial markets
- Non‐parametric Kernel Estimation of the Coefficient of a Diffusion
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
Uses Software
This page was built for publication: Estimating the diffusion coefficient function for a diversified world stock index
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q434882)
