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...
Saved in:
Main Authors: | Christian Gourieroux, Hung T. Nguyen, Songsak Sriboonchitta |
---|---|
Format: | Journal |
Published: |
2018
|
Subjects: | |
Online Access: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84979266131&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/57176 |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Institution: | Chiang Mai University |
Similar Items
-
Nonparametric estimation of a scalar diffusion model from discrete time data: a survey
by: Christian Gourieroux, et al.
Published: (2018) -
Nonparametric estimation of a scalar diffusion model from discrete time data: a survey
by: Gourieroux C., et al.
Published: (2017) -
Using the Discrete Lindley Distribution to Deal with Over-dispersion in Count Data
by: Nguyen M.T.N.
Published: (2023) -
Optimal nonparametric range-based volatility estimation
by: BOLLERSLEV, Tim, et al.
Published: (2024) -
A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete Data
by: PHILLIPS, Peter C. B., et al.
Published: (2009)