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Semiparametric diffusion estimation and application to a stock market index

  • Härdle, Wolfgang
  • Kleinow, Torsten
  • Korostelev, Alexander P.
  • Logeay, Camille
  • Platen, Eckhard

The 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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Paper 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.

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Date of creation: 2001
Date of revision:
Handle: RePEc:zbw:sfb373:200124
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  18. Frey, Rüdiger, 1997. "Derivative Asset Analysis in Models with Level-Dependent and Stochastic Volatility," Discussion Paper Serie B 401, University of Bonn, Germany.
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