Nonstationary Density Estimation and Kernel Autoregression
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Ait-Sahalia, Yacine, 1996.
"Nonparametric Pricing of Interest Rate Derivative Securities,"
Econometrica, Econometric Society, vol. 64(3), pages 527-560, May.
- Yacine Ait-Sahalia, 1995. "Nonparametric Pricing of Interest Rate Derivative Securities," NBER Working Papers 5345, National Bureau of Economic Research, Inc.
- Hardle, Wolfgang & Linton, Oliver, 1986.
"Applied nonparametric methods,"
Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 38, pages 2295-2339,
Elsevier.
- HÄRDLE, Wolfgang, 1992. "Applied nonparametric methods," LIDAM Discussion Papers CORE 1992003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Hardle, W., 1992. "Applied Nonparametric Methods," Papers 9206, Tilburg - Center for Economic Research.
- Härdle, W.K., 1992. "Applied Nonparametric Methods," Discussion Paper 1992-6, Tilburg University, Center for Economic Research.
- Hardle, W., 1992. "Applied Nonparametric Methods," Papers 9204, Catholique de Louvain - Institut de statistique.
- Phillips, Peter C B & Ploberger, Werner, 1996. "An Asymptotic Theory of Bayesian Inference for Time Series," Econometrica, Econometric Society, vol. 64(2), pages 381-412, March.
- Collomb, Gérard & Härdle, Wolfgang, 1986. "Strong uniform convergence rates in robust nonparametric time series analysis and prediction: Kernel regression estimation from dependent observations," Stochastic Processes and their Applications, Elsevier, vol. 23(1), pages 77-89, October.
- repec:cup:etheor:v:13:y:1997:i:5:p:615-45 is not listed on IDEAS
- Hardle, Wolfgang & Linton, Oliver, 1986.
"Applied nonparametric methods,"
Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 38, pages 2295-2339,
Elsevier.
- Oliver LINTON, "undated". "Applied nonparametric methods," Statistic und Oekonometrie 9312, Humboldt Universitaet Berlin.
- Wolfgang Hardle & Oliver Linton, 1994. "Applied Nonparametric Methods," Cowles Foundation Discussion Papers 1069, Cowles Foundation for Research in Economics, Yale University.
- Hardle, W. & Vieu, P., 1990. "Kernel regression smoothing of time series," LIDAM Discussion Papers CORE 1990031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Jiang, George J. & Knight, John L., 1997. "A Nonparametric Approach to the Estimation of Diffusion Processes, With an Application to a Short-Term Interest Rate Model," Econometric Theory, Cambridge University Press, vol. 13(5), pages 615-645, October.
- P. M. Robinson, 1983. "Nonparametric Estimators For Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 4(3), pages 185-207, May.
- Wolfgang Härdle & Philippe Vieu, 1992. "Kernel Regression Smoothing Of Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 13(3), pages 209-232, May.
- Yacine Ait-Sahalia, 1998. "Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach," NBER Technical Working Papers 0222, National Bureau of Economic Research, Inc.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Broadie, Mark & Detemple, Jerome & Ghysels, Eric & Torres, Olivier, 2000.
"Nonparametric estimation of American options' exercise boundaries and call prices,"
Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1829-1857, October.
- Mark Broadie & Jérôme Detemple & Eric Ghysels & Olivier Torrès, 1996. "Nonparametric Estimation of American Options Exercise Boundaries and Call Prices," CIRANO Working Papers 96s-24, CIRANO.
- Eric Ghysels & Valentin Patilea & Eric Renault & Olivier Torrès, 1997.
"Nonparametric Methods and Option Pricing,"
CIRANO Working Papers
97s-19, CIRANO.
- GHYSELS, Eric & PATILEA, Valentin & RENAULT, Eric & TORRES, Olivier, 1997. "Nonparametric methods and option pricing," LIDAM Discussion Papers CORE 1997075, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Ghysels, E. & Ng, S., 1996.
"A Semi-Parametric Factor Model for Interest Rates,"
Cahiers de recherche
9612, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Eric Ghysels & Serena Ng, 1996. "A Semi-Parametric Factor Model for Interest Rates," CIRANO Working Papers 96s-18, CIRANO.
- Ghysels, E. & Ng, S., 1996. "A Semi-Parametric Factor Model for Interest Rates," Cahiers de recherche 9612, Universite de Montreal, Departement de sciences economiques.
- Broadie, Mark & Detemple, Jerome & Ghysels, Eric & Torres, Olivier, 2000.
"American options with stochastic dividends and volatility: A nonparametric investigation,"
Journal of Econometrics, Elsevier, vol. 94(1-2), pages 53-92.
- Mark Broadie & Jérôme Detemple & Eric Ghysels & Olivier Torrès, 1996. "American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation," CIRANO Working Papers 96s-26, CIRANO.
- Franke, Jürgen & Kreiss, Jens-Peter & Mammen, Enno, 1997. "Bootstrap of kernel smoothing in nonlinear time series," SFB 373 Discussion Papers 1997,20, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Eric Ghysels & Christian Gouriéroux & Joann Jasiak, 1996. "Kernel Autocorrelogram for Time Deformed Processes," CIRANO Working Papers 96s-19, CIRANO.
- 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, vol. 8(1), pages 81-92.
- Härdle, Wolfgang & Kleinow, Torsten & Korostelev, Alexander P. & Logeay, Camille & Platen, Eckhard, 2001. "Semiparametric diffusion estimation and application to a stock market index," SFB 373 Discussion Papers 2001,24, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Wolfgang Hardle & Torsten Kleinow & Alexander Korostelev & Camille Logeay & Eckhard Platen, 2001. "Semiparametric Diffusion Estimation and Application to a Stock Market Index," Research Paper Series 51, Quantitative Finance Research Centre, University of Technology, Sydney.
- Bonsoo Koo & Oliver Linton, 2010.
"Semiparametric Estimation of Locally Stationary Diffusion Models,"
STICERD - Econometrics Paper Series
551, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Koo, Bonsoo & Linton, Oliver, 2010. "Semiparametric estimation of locally stationary diffusion models," LSE Research Online Documents on Economics 58186, London School of Economics and Political Science, LSE Library.
- Matthew Pritsker, 1997. "Nonparametric density estimation and tests of continuous time interest rate models," Finance and Economics Discussion Series 1997-26, Board of Governors of the Federal Reserve System (U.S.).
- Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
- Dabo-Niang, Sophie & Francq, Christian & Zakoïan, Jean-Michel, 2010.
"Combining Nonparametric and Optimal Linear Time Series Predictions,"
Journal of the American Statistical Association, American Statistical Association, vol. 105(492), pages 1554-1565.
- Sophie DABO-NIANG & Christian FRANCQ & Jean-Michel ZAKOIAN, 2009. "Combining Nonparametric and Optimal Linear Time Series Predictions," Working Papers 2009-18, Center for Research in Economics and Statistics.
- Oliver Linton & Douglas Steigerwald, 2000.
"Adaptive testing in arch models,"
Econometric Reviews, Taylor & Francis Journals, vol. 19(2), pages 145-174.
- Oliver Linton & Douglas G. Steigerwald, 1995. "Adaptive Testing in ARCH Models," Cowles Foundation Discussion Papers 1105, Cowles Foundation for Research in Economics, Yale University.
- Ichimura, Hidehiko & Todd, Petra E., 2007.
"Implementing Nonparametric and Semiparametric Estimators,"
Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 74,
Elsevier.
- Hidehiko Ichimura & Petra E. Todd, 2006. "Implementing Nonparametric and Semiparametric Estimators," CIRJE F-Series CIRJE-F-452, CIRJE, Faculty of Economics, University of Tokyo.
- Oliver Linton & E. Mammen & J. Nielsen, 1997.
"The Existence and Asymptotic Properties of a Backfitting Projection Algorithm Under Weak Conditions,"
Cowles Foundation Discussion Papers
1160, Cowles Foundation for Research in Economics, Yale University.
- Mammen, Enno & Linton, Oliver & Nielsen, J, 2000. "The existence and asymptotic properties of a backfitting projection algorithm under weak conditions," LSE Research Online Documents on Economics 2315, London School of Economics and Political Science, LSE Library.
- Oliver Linton & Enno Mammen & N Nielsen, 2000. "The Existence and Asymptotic Properties of a Backfitting Projection Algorithm under Weak Conditions," STICERD - Econometrics Paper Series 386, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Linton, Oliver & Mammen, E. & Nielsen, J., 1999. "The existence and asymptotic properties of a backfitting projection algorithm under weak conditions," LSE Research Online Documents on Economics 300, London School of Economics and Political Science, LSE Library.
- Lubrano, Michel, 2004. "Modélisation bayésienne non linéaire du taux d’intérêt de court terme américain : l’aide des outils non paramétriques," L'Actualité Economique, Société Canadienne de Science Economique, vol. 80(2), pages 465-499, Juin-Sept.
- Eric Ghysels & Serena Ng, 1998.
"A Semiparametric Factor Model Of Interest Rates And Tests Of The Affine Term Structure,"
The Review of Economics and Statistics, MIT Press, vol. 80(4), pages 535-548, November.
- Eric Ghysels & Serena Ng, 1997. "A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure," CIRANO Working Papers 97s-33, CIRANO.
- Eric Ghysels & Serena Ng, 1998. "A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure," Boston College Working Papers in Economics 403, Boston College Department of Economics.
- Fornari, Fabio & Mele, Antonio, 2001.
"Recovering the probability density function of asset prices using garch as diffusion approximations,"
Journal of Empirical Finance, Elsevier, vol. 8(1), pages 83-110, March.
- F. Fornari & A. Mele, 2000. "Recovering the Probability Density Function of Asset Prices using Garch as Diffusion Approximations," THEMA Working Papers 2000-12, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Fabio Fornari & Antonio Mele, 2001. "Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations," Temi di discussione (Economic working papers) 396, Bank of Italy, Economic Research and International Relations Area.
- Kristensen, Dennis, 2004.
"Estimation in two classes of semiparametric diffusion models,"
LSE Research Online Documents on Economics
24739, London School of Economics and Political Science, LSE Library.
- Dennis Kristensen, 2004. "Estimation in Two Classes of Semiparametric Diffusion Models," FMG Discussion Papers dp500, Financial Markets Group.
- Martin D. D. Evans & Richard K. Lyons, 2017.
"Are Different-Currency Assets Imperfect Substitutes?,"
World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 10, pages 415-456,
World Scientific Publishing Co. Pte. Ltd..
- Martin D. D. Evans & Richard K. Lyons, 2000. "Are Different-Currency Assets Imperfect Substitutes?," Working Papers gueconwpa~00-00-05, Georgetown University, Department of Economics.
- Martin D. D. Evans & Richard K. Lyons, 2003. "Are Different-Currency Assets Imperfect Substitutes?," CESifo Working Paper Series 978, CESifo.
- Federico M. Bandi & Peter C. B. Phillips, 2003.
"Fully Nonparametric Estimation of Scalar Diffusion Models,"
Econometrica, Econometric Society, vol. 71(1), pages 241-283, January.
- Federico M. Bandi & Peter C.B. Phillips, 2001. "Fully Nonparametric Estimation of Scalar Diffusion Models," Cowles Foundation Discussion Papers 1332, Cowles Foundation for Research in Economics, Yale University.
More about this item
Keywords
Brownian sheet; kernel regression; local time; martingale embedding; mixture normal; nonstationary density; occupation time; quadratic variation; unit root autoregression;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cwl:cwldpp:1181. See general information about how to correct material in RePEc.
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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Brittany Ladd (email available below). General contact details of provider: https://edirc.repec.org/data/cowleus.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.