Consistent estimation in regression models for the drift function in some continuous time models

DOI10.1016/j.csda.2007.09.017zbMath1452.62775OpenAlexW2129703102MaRDI QIDQ1023597

Myung Suk Kim, Suojin Wang

Publication date: 12 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2007.09.017

zbMATH Keywords

continuous-time modelstochastic volatility modelconsistent estimationdrift functionU.S. Treasury Bill yields

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Efficient estimation of general dynamic models with a continuum of moment conditions
• Sizes of two bootstrap-based nonparametric specification tests for the drift function in continuous time models
• On the applicability of stochastic volatility models
• The Fokker-Planck equation. Methods of solution and applications.
• Estimating continuous-time stochastic volatility models of the short-term interest rate
• A Theory of the Term Structure of Interest Rates
• On effects of discretization on estimators of drift parameters for diffusion processes
• A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
• An equilibrium characterization of the term structure
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• Estimation of affine asset pricing models using the empirical characteristic function

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