Parametric and nonparametric models and methods in financial econometrics
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Publication:975560
DOI10.1214/08-SS034zbMath1196.62135arXiv0801.1599OpenAlexW3104821956MaRDI QIDQ975560
Publication date: 9 June 2010
Published in: Statistics Surveys (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0801.1599
stochastic differential equationstochastic volatilityhidden Markov modelMarkov chainnonlinear time seriesdiffusion modelmodel validationnonparametric density estimatejump diffusion modelnonparametric curve estimate
Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Nonparametric estimation (62G05) Point estimation (62F10)
Related Items (6)
Evolutionary Computation for Modelling and Optimization in Finance ⋮ R-estimation in semiparametric dynamic location-scale models ⋮ Specification test for Markov models with measurement errors ⋮ Simultaneous nonparametric inference of time series ⋮ Nonparametric model validations for hidden Markov models with applications in financial econometrics ⋮ Time-varying nonlinear regression models: nonparametric estimation and model selection
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