Nonparametric Estimation of a Diffusion Equation from Tick Observations

We propose a nonparametric estimation technique of the coefficients of an univariate diffusion process. The estimation is done with a process observed at random times, corresponding to the crossing times of discrete levels. We first estimate the scale function of the process, which allows to transform any diffusion into a local martingale. This function is independent of the set of observation dates of the continuous time process.

MoreLess

Year of publication:	1997
Authors:	Burgayran, E. ; Darolles, S.
Subject:	EVALUATION \| ECONOMETRICS

More details

Type of publication:	Book / Working Paper
Notes:	31 pages
Classification:	C14 - Semiparametric and Nonparametric Methods ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005486782