A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by American Statistical Association in its journal Journal of the American Statistical Association.
Volume (Year): 98 (2003)
Issue (Month): (January)
Contact details of provider:
Web page: http://www.amstat.org/publications/jasa/index.cfm?fuseaction=main
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Nikolay Gospodinov & Masayuki Hirukawa, 2008. "Nonparametric Estimation of Scalar Diffusion Processes of Interest Rates Using Asymmetric Kernels," Working Papers 08011, Concordia University, Department of Economics, revised Dec 2008.
- Taoufik Bouezmarni & Jeroen V.K. Rombouts, 2006.
"Nonparametric Density Estimation for Positive Time Series,"
Cahiers de recherche
06-09, HEC Montréal, Institut d'économie appliquée.
- Bouezmarni, Taoufik & Rombouts, Jeroen V.K., 2010. "Nonparametric density estimation for positive time series," Computational Statistics & Data Analysis, Elsevier, vol. 54(2), pages 245-261, February.
- BOUEZMARNI, Taoufik & ROMBOUTS, Jeroen V. K., 2006. "Nonparametric density estimation for positive time series," CORE Discussion Papers 2006085, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Kim, Myung Suk & Wang, Suojin, 2008. "Consistent estimation in regression models for the drift function in some continuous time models," Computational Statistics & Data Analysis, Elsevier, vol. 52(5), pages 2682-2691, January.
- Kim, Myung Suk & Wang, Suojin, 2006. "Sizes of two bootstrap-based nonparametric specification tests for the drift function in continuous time models," Computational Statistics & Data Analysis, Elsevier, vol. 50(7), pages 1793-1806, April.
- Chiara Peroni, 2012.
"Testing linearity in term structures,"
Applied Financial Economics,
Taylor and Francis Journals, vol. 22(8), pages 651-666, April.
- Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355, May.
- Bandi, Federico & Moloche, Guillermo, 2008. "On the functional estimation of multivariate diffusion processes," MPRA Paper 43681, University Library of Munich, Germany.
- Suk Kim, Myung & Wang, Suojin, 2006. "On the applicability of stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2210-2217, December.
- Yamamura, Mariko & Shoji, Isao, 2010. "A nonparametric method of multi-step ahead forecasting in diffusion processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(12), pages 2408-2415.
- Chang, Jinyuan & Chen, Songxi, 2011. "On the Approximate Maximum Likelihood Estimation for Diffusion Processes," MPRA Paper 46279, University Library of Munich, Germany.
- J. Jimenez & R. Biscay & T. Ozaki, 2005. "Inference Methods for Discretely Observed Continuous-Time Stochastic Volatility Models: A Commented Overview," Asia-Pacific Financial Markets, Springer, vol. 12(2), pages 109-141, June.
- Gómez-Valle, Lourdes & Martinez-Rodriguez, Julia, 2008. "Modelling the term structure of interest rates: An efficient nonparametric approach," Journal of Banking & Finance, Elsevier, vol. 32(4), pages 614-623, April.
- Jianqing Fan & Yingying Fan & Jinchi Lv, 0. "Aggregation of Nonparametric Estimators for Volatility Matrix," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 5(3), pages 321-357.
- Bandi, Federico & Corradi, Valentina & Moloche, Guillermo, 2009. "Bandwidth selection for continuous-time Markov processes," MPRA Paper 43682, University Library of Munich, Germany.
- Renò, Roberto, 2008. "Nonparametric Estimation Of The Diffusion Coefficient Of Stochastic Volatility Models," Econometric Theory, Cambridge University Press, vol. 24(05), pages 1174-1206, October.
- Adam Canopius, 2006. "Practitioners' Corner," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(2), pages 346-351.
- Zhang, Chunming & Lu, Yuefeng & Johnstone, Tom & Oakes, Terry & Davidson, Richard J., 2008. "Efficient modeling and inference for event-related fMRI data," Computational Statistics & Data Analysis, Elsevier, vol. 52(10), pages 4859-4871, June.
- Peter C.B. Phillips & Ke-Li Xu, 2007. "Tilted Nonparametric Estimation of Volatility Functions," Cowles Foundation Discussion Papers 1612, Cowles Foundation for Research in Economics, Yale University, revised Jul 2010.
- Xu, Ke-Li & Phillips, Peter C. B., 2011. "Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(4), pages 518-528.
- Xu, Ke-Li, 2010. "Reweighted Functional Estimation Of Diffusion Models," Econometric Theory, Cambridge University Press, vol. 26(02), pages 541-563, April.
- Monsalve-Cobis, Abelardo & González-Manteiga, Wenceslao & Febrero-Bande, Manuel, 2011. "Goodness-of-fit test for interest rate models: An approach based on empirical processes," Computational Statistics & Data Analysis, Elsevier, vol. 55(12), pages 3073-3092, December.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.