Comment: A selective overview of nonparametric methods in financial econometrics

DOI10.1214/088342305000000430zbMath1130.62366OpenAlexW1980254050MaRDI QIDQ2381755

Peter C. B. Phillips, Jun Yu

Publication date: 18 September 2007

Published in: Statistical Science (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ss/1137076648

zbMATH Keywords

continuous time modelsfinancial time seriesrealized volatilitynonparametric methodJackknife

Mathematics Subject Classification ID

Related Items (5)

ON DISCRETE SAMPLING OF TIME-VARYING CONTINUOUS-TIME SYSTEMS ⋮ Bias in estimating multivariate and univariate diffusions ⋮ Postmodel selection estimators of variance function for nonlinear autoregression ⋮ Simulation-Based Estimation Methods for Financial Time Series Models ⋮ ECONOMETRIC ANALYSIS OF CONTINUOUS TIME MODELS: A SURVEY OF PETER PHILLIPS’S WORK AND SOME NEW RESULTS

Cites Work

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