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Semiparametric Diffusion Estimation and Application to a Stock Market Index

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Author Info
W. Härdle
T. Kleinow
A. Korostelev
C. Logeay

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Paper provided by Humboldt Universitaet Berlin in its series Sonderforschungsbereich 373 with number 2001-24.

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Handle: RePEc:wop:humbsf:2001-24

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  1. Nelson, Daniel B., 1990. "ARCH models as diffusion approximations," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 7-38. [Downloadable!] (restricted)
  2. Frey, Rüdiger, 1997. "Derivative Asset Analysis in Models with Level-Dependent and Stochastic Volatility," Discussion Paper Serie B 401, University of Bonn, Germany. [Downloadable!]
  3. E. Platen, . "Risk Premia and Financial Modelling Without Measure Transformation," Sonderforschungsbereich 373 2000-92, Humboldt Universitaet Berlin.
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  4. Gallant, A. Ronald & Tauchen, George, 1996. "Which Moments to Match?," Econometric Theory, Cambridge University Press, vol. 12(04), pages 657-681, October. [Downloadable!]
  5. Ait-Sahalia, Yacine, 1996. "Nonparametric Pricing of Interest Rate Derivative Securities," Econometrica, Econometric Society, vol. 64(3), pages 527-60, May. [Downloadable!] (restricted)
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  6. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March. [Downloadable!] (restricted)
  7. Hansen, Lars Peter & Scheinkman, Jose Alexandre, 1995. "Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes," Econometrica, Econometric Society, vol. 63(4), pages 767-804, July. [Downloadable!] (restricted)
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  8. J. Franke & J.-P. Kreiss & E. Mammen & M. Neumann, . "Properties of the Nonparametric Autoregressive Bootstrap," Sonderforschungsbereich 373 1998-54, Humboldt Universitaet Berlin.
  9. Hansen, Lars Peter & Alexandre Scheinkman, Jose & Touzi, Nizar, 1998. "Spectral methods for identifying scalar diffusions," Journal of Econometrics, Elsevier, vol. 86(1), pages 1-32, June. [Downloadable!] (restricted)
  10. Ghysels, E. & Harvey, A. & Renault, E., 1995. "Stochastic Volatility," Papers 95.400, Toulouse - GREMAQ.
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  11. Hardle, W. & Tsybakov, A., 1997. "Local polynomial estimators of the volatility function in nonparametric autoregression," Journal of Econometrics, Elsevier, vol. 81(1), pages 223-242, November. [Downloadable!] (restricted)
  12. repec:cup:etheor:v:12:y:1996:i:4:p:657-81 is not listed on IDEAS
  13. Tauchen, George E. & Gallant, A. Ronald, 1995. "Which Moments to Match," Working Papers 95-20, Duke University, Department of Economics.
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