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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Main Authors:	Christian Gourieroux, Hung T. Nguyen, Songsak Sriboonchitta
Format:	Journal
Published:	2018
Subjects:	Decision Sciences
Online Access:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84979266131&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/57176
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Institution:	Chiang Mai University

id	th-cmuir.6653943832-57176
record_format	dspace
spelling	th-cmuir.6653943832-571762018-09-05T03:35:55Z Nonparametric estimation of a scalar diffusion model from discrete time data: a survey Christian Gourieroux Hung T. Nguyen Songsak Sriboonchitta Decision Sciences © 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. 2018-09-05T03:35:55Z 2018-09-05T03:35:55Z 2017-09-01 Journal 15729338 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/6653943832/57176
institution	Chiang Mai University
building	Chiang Mai University Library
country	Thailand
collection	CMU Intellectual Repository
topic	Decision Sciences
spellingShingle	Decision Sciences Christian Gourieroux Hung T. Nguyen Songsak Sriboonchitta Nonparametric estimation of a scalar diffusion model from discrete time data: a survey
description	© 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	Christian Gourieroux Hung T. Nguyen Songsak Sriboonchitta
author_facet	Christian Gourieroux Hung T. Nguyen Songsak Sriboonchitta
author_sort	Christian Gourieroux
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	2018
url	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84979266131&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/57176
_version_	1681424829938401280

Nonparametric estimation of a scalar diffusion model from discrete time data: a survey

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