Non parametric bias reduction of diffusion coefficient in integrated diffusion processes

DOI10.1080/03610926.2020.1861298OpenAlexW3113062204MaRDI QIDQ5096017

Mingtian Tang, Qingqing Zhan, Yunyan Wang

Publication date: 12 August 2022

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

Full work available at URL: https://doi.org/10.1080/03610926.2020.1861298

zbMATH Keywords

bias reductiondiffusion coefficientintegrated processkernel type estimatornon parametric estimator

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• Estimating stochastic volatility diffusion using conditional moments of integrated volatility
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• NONPARAMETRIC ESTIMATION OF SECOND-ORDER STOCHASTIC DIFFERENTIAL EQUATIONS
• Local Linear Estimation of Second-Order Diffusion Models
• Parameter Estimation for a Discretely Observed Integrated Diffusion Process
• BIAS REDUCTION IN NONPARAMETRIC DIFFUSION COEFFICIENT ESTIMATION
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Empirical likelihood based inference for second-order diffusion models

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