Estimation of semiparametric locally stationary diffusion models
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Publication:528037
DOI10.1016/J.JECONOM.2012.05.003zbMATH Open1443.62224OpenAlexW2087203067MaRDI QIDQ528037FDOQ528037
Authors: Bonsoo Koo, Oliver Linton 
Publication date: 12 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612001157
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Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Diffusion processes (60J60) Order statistics; empirical distribution functions (62G30)
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