Parametric and nonparametric models and methods in financial econometrics

DOI10.1214/08-SS034zbMATH Open1196.62135arXiv0801.1599OpenAlexW3104821956MaRDI QIDQ975560FDOQ975560

Zhibiao Zhao

Publication date: 9 June 2010

Published in: Statistics Surveys (Search for Journal in Brave)

Abstract: Financial econometrics has become an increasingly popular research field. In this paper we review a few parametric and nonparametric models and methods used in this area. After introducing several widely used continuous-time and discrete-time models, we study in detail dependence structures of discrete samples, including Markovian property, hidden Markovian structure, contaminated observations, and random samples. We then discuss several popular parametric and nonparametric estimation methods. To avoid model mis-specification, model validation plays a key role in financial modeling. We discuss several model validation techniques, including pseudo-likelihood ratio test, nonparametric curve regression based test, residuals based test, generalized likelihood ratio test, simultaneous confidence band construction, and density based test. Finally, we briefly touch on tools for studying large sample properties.

Full work available at URL: https://arxiv.org/abs/0801.1599

Recommendations

• Financial econometrics. Models and methods
• Financial econometrics. Methods and models
• scientific article; zbMATH DE number 1987697
• A selective overview of nonparametric methods in financial econometrics
• Some aspects of modeling and statistical inference for financial models
• scientific article; zbMATH DE number 2221037
• Statistical models and methods for financial markets
• Financial econometrics, mathematics, and statistics. Theory, method, and application
• Nonparametric Modeling in Financial Time Series

zbMATH Keywords

Markov chainnonlinear time seriesdiffusion modelhidden Markov modelstochastic differential equationstochastic volatilitynonparametric density estimatemodel validationjump diffusion modelnonparametric curve estimate

Mathematics Subject Classification ID

Point estimation (62F10) Nonparametric estimation (62G05) Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites Work

• A consistent nonparametric density estimator for the deconvolution problem
• Maximum likelihood estimation of the double exponential jump-diffusion process
• Term structure models driven by general Lévy processes
• Pricing foreign currency options with stochastic volatility
• On the use of nonparametric regression for model checking
• A Partially Observed Model for Micromovement of Asset Prices with Bayes Estimation via Filtering
• Nonparametric Transition-Based Tests for Jump Diffusions
• Title not available (Why is that?)
• Parameter estimation for discretely observed stochastic volatility models
• Kernel density estimation for linear processes
• Confidence bands in nonparametric time series regression
• Uniformly root-\(n\) consistent density estimators for weakly dependent invertible linear proc\-esses
• Modelling nonlinear random vibrations using an amplitude-dependent autoregressive time series model
• Inference in hidden Markov models. I: Local asymptotic normality in the stationary case.
• Statistics of financial markets. An introduction.
• Jump diffusion processes and their applications in insurance and finance
• Likelihood inference for diffusions: a survey
• Central limit theorems for mixing sequences of random variables under minimal conditions
• Title not available (Why is that?)
• Nonparametric drift estimation from ergodic samples
• Large Sample Properties of Generalized Method of Moments Estimators
• The pricing of options and corporate liabilities
• A Jump-Diffusion Model for Option Pricing
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• A theory of the term structure of interest rates
• Simulated Moments Estimation of Markov Models of Asset Prices
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Markov chain Monte Carlo methods for stochastic volatility models.
• On leverage in a stochastic volatility model
• Nonparametric econometrics. Theory and practice.
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Efficient estimation of conditional variance functions in stochastic regression
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Stochastic volatility with leverage: fast and efficient likelihood inference
• Title not available (Why is that?)
• Title not available (Why is that?)
• Comparing nonparametric versus parametric regression fits
• ARCH models and financial applications
• Generalized likelihood ratio statistics and Wilks phenomenon
• Nonlinear time series. Nonparametric and parametric methods
• On some global measures of the deviations of density function estimates
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Testing the Goodness of Fit of a Linear Model Via Nonparametric Regression Techniques
• Title not available (Why is that?)
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Title not available (Why is that?)
• Confidence Bands in Nonparametric Regression
• An Adaptive, Rate-Optimal Test of a Parametric Mean-Regression Model Against a Nonparametric Alternative
• An Empirical Likelihood Goodness-of-Fit Test for Time Series
• The Distribution of Realized Exchange Rate Volatility
• Consistent Specification Testing Via Nonparametric Series Regression
• Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms
• An equilibrium characterization of the term structure
• Nonlinear system theory: Another look at dependence
• Title not available (Why is that?)
• Title not available (Why is that?)
• On the optimal rates of convergence for nonparametric deconvolution problems
• Asymptotic maximal deviation of M-smoothers
• Probabilities of maximal deviations for nonparametric regression function estimates
• Estimating equations based on eigenfunctions for a discretely observed diffusion process
• On a measure of lack of fit in time series models
• Multivariate Stochastic Variance Models
• Title not available (Why is that?)
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• On the Markov chain central limit theorem
• Basic properties of strong mixing conditions. A survey and some open questions
• Hyperbolic distributions in finance
• Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
• Title not available (Why is that?)
• Mixing Conditions for Markov Chains
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• The Effects of Random and Discrete Sampling when Estimating Continuous-Time Diffusions
• Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals
• A Tale of Two Time Scales
• Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
• Strong invariance principles for dependent random variables
• Estimation of stochastic volatility models with diagnostics
• Title not available (Why is that?)
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Title not available (Why is that?)
• Option pricing when underlying stock returns are discontinuous
• The central limit theorem for time series regression
• On polynomial mixing bounds for stochastic differential equations
• Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
• Asymptotic error distributions for the Euler method for stochastic differential equations
• Martingale estimation functions for discretely observed diffusion processes
• Nonparametric Identification for Diffusion Processes
• Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• Stochastic volatility models as hidden Markov models and statistical applications
• A nonlinear autoregressive conditional duration model with applications to financial transaction data
• Maximum-likelihood estimation for hidden Markov models
• On estimating the diffusion coefficient from discrete observations
• Nonparametric Pricing of Interest Rate Derivative Securities
• Fully Nonparametric Estimation of Scalar Diffusion Models
• Goodness of fit tests for spectral distributions
• Nonparametric estimation of structural models for high-frequency currency market data
• No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications
• The pricing of options on assets with stochastic volatilities
• Continuous Record Asymptotics for Rolling Sample Variance Estimators
• Title not available (Why is that?)
• Limit theorems for iterated random functions
• Portfolio Analysis in a Stable Paretian Market
• New dependence coefficients. Examples and applications to statistics
• A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
• Estimating continuous-time stochastic volatility models of the short-term interest rate
• Confidence Bands for Regression Functions
• ADAPTIVE TESTING IN CONTINUOUS-TIME DIFFUSION MODELS
• A selective overview of nonparametric methods in financial econometrics
• Are volatility estimators robust with respect to modeling assumptions?
• Nonlinear Time Series
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
• Quasi-maximum likelihood estimation of stochastic volatility models
• Financial econometrics: Past developments and future challenges
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• ANOVA for diffusions and Itō processes
• A central limit theorem for normalized functions of the increments of a diffusion process, in the presence of round-off errors
• The conditional central limit theorem in Hilbert spaces.
• Lévy term structure models: no-arbitrage and completeness

Cited In (11)

• Recent Advances in Estimating Nonlinear Models
• Evolutionary Computation for Modelling and Optimization in Finance
• Application of spectrum estimation for verifying financial time series models
• Specification test for Markov models with measurement errors
• Nonparametric model validations for hidden Markov models with applications in financial econometrics
• Comment: A selective overview of nonparametric methods in financial econometrics
• Simultaneous nonparametric inference of time series
• Time-varying nonlinear regression models: nonparametric estimation and model selection
• Nonparametric Modeling in Financial Time Series
• Some recent developments in nonparametric finance
• R-estimation in semiparametric dynamic location-scale models

This page was built for publication: Parametric and nonparametric models and methods in financial econometrics

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q975560)