Non parametric bias reduction of diffusion coefficient in integrated diffusion processes

DOI10.1080/03610926.2020.1861298MaRDI QIDQ5096017zbMATH OpenOpenAlexFDO

Authors Mingtian Tang, Yunyan Wang, Qingqing Zhan

Publication date 12 August 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2020.1861298

zbMATH Keywords

bias reductiondiffusion coefficientintegrated processkernel type estimatornon parametric estimator

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• Bias reduction in nonparametric diffusion coefficient estimation
• Discrete sampling of an integrated diffusion process and parameter estimation of the diffusion coefficent
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Empirical likelihood based inference for second-order diffusion models
• Estimating stochastic volatility diffusion using conditional moments of integrated volatility
• scientific article; zbMATH DE number 3736679 (Why is no real title available?)
• scientific article; zbMATH DE number 3438157 (Why is no real title available?)
• Local linear estimation of second-order diffusion models
• Nonparametric adaptive estimation for integrated diffusions
• Nonparametric estimation of second-order stochastic differential equations
• Parameter Estimation for a Discretely Observed Integrated Diffusion Process
• Re-weighted functional estimation of second-order diffusion processes

Cited in

(2)

• Strong consistency of parameter estimation for the CIR integrated diffusion process with long-span high-frequency data
• Contrast estimation of the Vasicek integrated diffusion process for high-frequency data

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