Estimation of semiparametric locally stationary diffusion models
From MaRDI portal
Publication:528037
DOI10.1016/j.jeconom.2012.05.003zbMath1443.62224OpenAlexW2087203067MaRDI QIDQ528037
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
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Order statistics; empirical distribution functions (62G30) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)
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