Estimating the diffusion coefficient function for a diversified world stock index

DOI10.1016/j.csda.2011.10.004zbMath1242.91215OpenAlexW2006677804MaRDI QIDQ434882

Katja Ignatieva, Eckhard Platen

Publication date: 16 July 2012

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

Full work available at URL: https://doi.org/10.1016/j.csda.2011.10.004

zbMATH Keywords

nonparametric estimationkernel densitydiffusion coefficient functiondiversified world stock indexsquare root process

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Uses Software

• R
• MASS (R)
• KernSmooth

Cites Work

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