Nonparametric estimation of a scalar diffusion model from discrete time data: a survey
© 2016, Springer Science+Business Media New York. In view of rapid developments on nonparametric estimation of the drift and volatility functions in scalar diffusion models in financial econometrics, from discrete-time observations, we provide, in this paper, a survey of its state-of-the-art with ne...
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th-cmuir.6653943832-401512017-09-28T04:07:16Z Nonparametric estimation of a scalar diffusion model from discrete time data: a survey Gourieroux C. Nguyen H. Sriboonchitta S. © 2016, Springer Science+Business Media New York. In view of rapid developments on nonparametric estimation of the drift and volatility functions in scalar diffusion models in financial econometrics, from discrete-time observations, we provide, in this paper, a survey of its state-of-the-art with new insights into current practices, as well as elaborating on our own recent contributions. In particular, in presenting the main principles of estimation for both stationary and nonstationary cases, we show the possibility to estimate nonparametrically the drift and volatility functions without distinguishing these two frameworks. 2017-09-28T04:07:16Z 2017-09-28T04:07:16Z 2 Journal 02545330 2-s2.0-84979266131 10.1007/s10479-016-2273-6 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84979266131&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/40151 |
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© 2016, Springer Science+Business Media New York. In view of rapid developments on nonparametric estimation of the drift and volatility functions in scalar diffusion models in financial econometrics, from discrete-time observations, we provide, in this paper, a survey of its state-of-the-art with new insights into current practices, as well as elaborating on our own recent contributions. In particular, in presenting the main principles of estimation for both stationary and nonstationary cases, we show the possibility to estimate nonparametrically the drift and volatility functions without distinguishing these two frameworks. |
| format |
Journal |
| author |
Gourieroux C. Nguyen H. Sriboonchitta S. |
| spellingShingle |
Gourieroux C. Nguyen H. Sriboonchitta S. Nonparametric estimation of a scalar diffusion model from discrete time data: a survey |
| author_facet |
Gourieroux C. Nguyen H. Sriboonchitta S. |
| author_sort |
Gourieroux C. |
| title |
Nonparametric estimation of a scalar diffusion model from discrete time data: a survey |
| title_short |
Nonparametric estimation of a scalar diffusion model from discrete time data: a survey |
| title_full |
Nonparametric estimation of a scalar diffusion model from discrete time data: a survey |
| title_fullStr |
Nonparametric estimation of a scalar diffusion model from discrete time data: a survey |
| title_full_unstemmed |
Nonparametric estimation of a scalar diffusion model from discrete time data: a survey |
| title_sort |
nonparametric estimation of a scalar diffusion model from discrete time data: a survey |
| publishDate |
2017 |
| url |
https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84979266131&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/40151 |
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1681421757039247360 |