BIAS REDUCTION IN NONPARAMETRIC DIFFUSION COEFFICIENT ESTIMATION

DOI10.1017/S0266466603195035zbMath1441.62819OpenAlexW2028634290MaRDI QIDQ4561980

João Nicolau

Publication date: 14 December 2018

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466603195035

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

Related Items (9)

Specification testing in discretized diffusion models: theory and practice ⋮ Empirical likelihood-based inference for nonparametric recurrent diffusions ⋮ Online Kernel estimation of stationary stochastic diffusion models ⋮ Jump-robust volatility estimation using dynamic dual-domain integration method ⋮ Non parametric bias reduction of diffusion coefficient in integrated diffusion processes ⋮ UNIFORM CONVERGENCE RATES OF KERNEL-BASED NONPARAMETRIC ESTIMATORS FOR CONTINUOUS TIME DIFFUSION PROCESSES: A DAMPING FUNCTION APPROACH ⋮ A two-step estimation of diffusion processes using noisy observations ⋮ Semi-nonparametric estimation and misspecification testing of diffusion models ⋮ A nonparametric approach to the estimation of jump-diffusion models with asymmetric kernels

Cites Work

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• The Distribution of Realized Exchange Rate Volatility
• Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
• Nonparametric Pricing of Interest Rate Derivative Securities
• Fully Nonparametric Estimation of Scalar Diffusion Models

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