Local Linear Estimation of Second-Order Diffusion Models

DOI10.1080/03610920903391345zbMath1208.62131OpenAlexW2043758517MaRDI QIDQ3083789

Zheng Yan Lin, Han Chao Wang

Publication date: 23 March 2011

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920903391345

zbMATH Keywords

N-W estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05)

Related Items (11)

Convoluted smoothed kernel estimation for drift coefficients in jump-diffusion models ⋮ Local Linear Estimation of Second-order Jump-diffusion Model ⋮ Variance reduction approach for the volatility over a finite-time horizon ⋮ Non parametric bias reduction of diffusion coefficient in integrated diffusion processes ⋮ A test for a parametric form of the volatility in second-order diffusion models ⋮ Variance reduction estimation for return models with jumps using gamma asymmetric kernels ⋮ Estimation for a second-order jump diffusion model from discrete observations: application to stock market returns ⋮ Local linear estimator for stochastic differential equations driven by \(\alpha\)-stable Lévy motions ⋮ Double-smoothed drift estimation of jump-diffusion model ⋮ Bias Correction Estimation for a Continuous‐Time Asset Return Model with Jumps ⋮ Double Smoothed Volatility Estimation of Potentially Non‐stationary Jump‐diffusion Model of Shibor

Cites Work

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• Design-adaptive Nonparametric Regression
• On estimating the diffusion coefficient from discrete observations
• A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
• Inference for Observations of Integrated Diffusion Processes
• Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
• Fully Nonparametric Estimation of Scalar Diffusion Models

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