Semiparametric diffusion estimation and application to a stock market index
AbstractThe analysis of diffusion processes in financial models is crucially dependent on the form of the drift and diffusion coefficient functions. A methodology is proposed for estimating and testing coefficient functions for ergodic diffusions that are not directly observable. It is based on semiparametric and nonparametric estimates. The testing is performed via the wild bootstrap resampling technique. The method is illustrated on S&P 500 index data. --
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Bibliographic InfoPaper provided by Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes in its series SFB 373 Discussion Papers with number 2001,24.
Date of creation: 2001
Date of revision:
Identification; Bootstrap; Diffusion; Continuous-time financial models; Semiparametric methods; Kernel smoothing;
Other versions of this item:
- Wolfgang Hardle & Torsten Kleinow & Alexander Korostelev & Camille Logeay & Eckhard Platen, 2008. "Semiparametric diffusion estimation and application to a stock market index," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 8(1), pages 81-92.
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
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- Härdle, Wolfgang & Horowitz, Joel L. & Kreiss, Jens-Peter, 2001. "Bootstrap methods for time series," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2001,59, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
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