A Semiparametric Model of Estimating Volatility of Diffusion Processes

DOI10.1080/07362994.2013.759487zbMath1301.62038OpenAlexW2092566515MaRDI QIDQ4916956

Isao Shoji

Publication date: 26 April 2013

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2013.759487

zbMATH Keywords

stochastic differential equationsemiparametric estimationconsistent estimatediffusion coefficientstate space model

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Nonparametric estimation (62G05)

Cites Work

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• Estimation for diffusion processes from discrete observation
• Efficient estimation of conditional variance functions in stochastic regression
• On estimating the diffusion coefficient from discrete observations
• Estimation of an Ergodic Diffusion from Discrete Observations
• A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
• Non‐parametric Kernel Estimation of the Coefficient of a Diffusion
• Local diffusion models for stochastic reacting systems: estimation issues in equation-free numerics
• Fully Nonparametric Estimation of Scalar Diffusion Models

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