Uniform and \(L_p\) convergences for nonparametric continuous time regressions with semiparametric applications

DOI10.1016/j.jeconom.2023.02.006OpenAlexW4362470244MaRDI QIDQ6108335

Jihyun Kim, Ruijun Bu, Unnamed Author

Publication date: 29 June 2023

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2023.02.006

zbMATH Keywords

uniform convergencekernel estimationpredictabilityrobust inference\(L_p\) convergencerecurrent diffusionnon/semiparametric model

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Nonstationary nonlinear heteroskedasticity in regression
• Estimation of partial differential equations with applications in finance
• Asymptotics for recurrent diffusions with application to high frequency regression
• Time-varying leverage effects
• Stationarity-based specification tests for diffusions when the process is nonstationary
• Estimation of semiparametric locally stationary diffusion models
• Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models
• Semi-nonparametric estimation and misspecification testing of diffusion models
• Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
• Asymptotic theory of semiparametric \(Z\)-estimators for stochastic processes with applications to ergodic diffusions and time series
• Nonparametric statistics for stochastic processes. Estimation and prediction.
• Extremal behavior of diffusion models in finance
• Spectral methods for identifying scalar diffusions
• \(L_p\) estimation of the diffusion coefficient
• Adaptive estimation in diffusion processes.
• Nonparametric estimation of scalar diffusions based on low frequency data
• On Bernstein-type inequalities for martingales.
• Weak convergence and empirical processes. With applications to statistics
• Nonparametric estimation of stochastic volatility models
• Efficient density estimation for ergodic diffusion processes
• Volatility regressions with fat tails
• Nonparametric predictive regression
• Nonparametric estimation for stochastic volatility models
• Uniform convergence rates for a class of martingales with application in non-linear cointegrating regression
• Sieve \(M\) inference on irregular parameters
• ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING
• Unit Root Tests under Time-Varying Variances
• UNIFORM CONSISTENCY FOR NONPARAMETRIC ESTIMATORS IN NULL RECURRENT TIME SERIES
• UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA
• NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS
• Uniform Consistency of Kernel Estimators of a Regression Function Under Generalized Conditions
• On estimating the diffusion coefficient from discrete observations
• Asymptotics for Semiparametric Econometric Models Via Stochastic Equicontinuity
• MULTIVARIATE LOCAL POLYNOMIAL REGRESSION FOR TIME SERIES:UNIFORM STRONG CONSISTENCY AND RATES
• Estimation of an Ergodic Diffusion from Discrete Observations
• A Semiparametric Maximum Likelihood Estimator
• A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
• NONPARAMETRIC STOCHASTIC VOLATILITY
• ON THE FUNCTIONAL ESTIMATION OF MULTIVARIATE DIFFUSION PROCESSES
• Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
• Nonparametric Pricing of Interest Rate Derivative Securities
• NONPARAMETRIC COINTEGRATING REGRESSION WITH NNH ERRORS
• Non‐parametric Kernel Estimation of the Coefficient of a Diffusion
• BIAS REDUCTION AND LIKELIHOOD-BASED ALMOST EXACTLY SIZED HYPOTHESIS TESTING IN PREDICTIVE REGRESSIONS USING THE RESTRICTED LIKELIHOOD
• UNIFORM CONVERGENCE RATES OF KERNEL ESTIMATORS WITH HETEROGENEOUS DEPENDENT DATA
• Fully Nonparametric Estimation of Scalar Diffusion Models
• Estimation of Semiparametric Models when the Criterion Function Is Not Smooth
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• Surprise volume and heteroskedasticity in equity market returns
• UNIFORM CONSISTENCY OF NONSTATIONARY KERNEL-WEIGHTED SAMPLE COVARIANCES FOR NONPARAMETRIC REGRESSION
• Truncated dynamics and estimation of diffusion equations
• Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models
• A reexamination of stock return predictability
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Uniform and \(L_p\) convergences for nonparametric continuous time regressions with semiparametric applications