Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models

DOI10.1016/j.jeconom.2015.11.002zbMath1419.62206OpenAlexW2180186184MaRDI QIDQ5964754

Yacine Aït-Sahalia, Joon Y. Park

Publication date: 1 March 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.11.002

zbMATH Keywords

kernel estimatorsdiffusionslocal timenonstationaritylocally linear estimators

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Central limit and other weak theorems (60F05) Markov processes: estimation; hidden Markov models (62M05) Local time and additive functionals (60J55)

Related Items (20)

Nonparametric density estimation and bandwidth selection with B-spline bases: a novel Galerkin method ⋮ NONPARAMETRIC STOCHASTIC VOLATILITY ⋮ Testing for the presence of jump components in jump diffusion models ⋮ Asymptotic normality of convoluted smoothed kernel estimation for scalar diffusion model ⋮ Nonparametric two-step estimation of drift function in the jump-diffusion model with noisy data ⋮ Uniform and \(L_p\) convergences for nonparametric continuous time regressions with semiparametric applications ⋮ UNIFORM CONVERGENCE RATES OF KERNEL-BASED NONPARAMETRIC ESTIMATORS FOR CONTINUOUS TIME DIFFUSION PROCESSES: A DAMPING FUNCTION APPROACH ⋮ CONVERGENCE RATES OF SUMS OF α-MIXING TRIANGULAR ARRAYS: WITH AN APPLICATION TO NONPARAMETRIC DRIFT FUNCTION ESTIMATION OF CONTINUOUS-TIME PROCESSES ⋮ Nonparametric estimation for the diffusion coefficient of multidimensional time-varying diffusion processes ⋮ Approximation of fractional local times: zero energy and derivatives ⋮ Bandwidth selection of nonparametric threshold estimator in jump-diffusion models ⋮ Nonparametric estimation of jump diffusion models ⋮ A data-driven framework for consistent financial valuation and risk measurement ⋮ Consistent estimator of nonparametric structural spurious regression model for high frequency data ⋮ ON THE FUNCTIONAL ESTIMATION OF MULTIVARIATE DIFFUSION PROCESSES ⋮ Nonparametric estimation of volatility function in the jump-diffusion model with noisy data ⋮ Bias free threshold estimation for jump intensity function ⋮ Nonparametric Gaussian inference for stable processes ⋮ ESTIMATION OF VOLATILITY FUNCTIONS IN JUMP DIFFUSIONS USING TRUNCATED BIPOWER INCREMENTS ⋮ A multifactor transformed diffusion model with applications to VIX and VIX futures

Cites Work

• The Pricing of Options and Corporate Liabilities
• Nonparametric estimation in a nonlinear cointegration type model
• Rates of convergence to the local time of a diffusion
• Nonparametric statistics for stochastic processes. Estimation and prediction.
• Extremal behavior of diffusion models in finance
• Central limit theorem for an estimator of the variance of a diffusion process in the multidimensional case
• A multivariate central limit theorem for continuous local martingales
• Adaptive estimation in diffusion processes.
• On a problem of statistical inference in null recurrent diffusions
• Nonparametric estimation in null recurrent time series.
• On the continuity of local times of Borel right Markov processes
• A selective overview of nonparametric methods in financial econometrics
• Limit theorems for random walks, birth and death processes, and diffusion processes
• Nonlinearity and temporal dependence
• A Theory of the Term Structure of Interest Rates
• NONPARAMETRIC ESTIMATORS FOR TIME SERIES
• NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS
• On estimating the diffusion coefficient from discrete observations
• Nonlinear Regressions with Integrated Time Series
• Limit theorems for null recurrent Markov processes
• Nonparametric Pricing of Interest Rate Derivative Securities
• Specification Tests for the Variance of a Diffusion
• Non‐parametric Kernel Estimation of the Coefficient of a Diffusion
• An equilibrium characterization of the term structure
• Fully Nonparametric Estimation of Scalar Diffusion Models
• Convergence of stochastic processes
• Brownian local time
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models