Semiparametric diffusion estimation and application to a stock market index

Wolfgang Härdle, Torsten Kleinow, Alexander Korostelev, Camille Logeay, Eckhard Platen

The analysis of diffusion processes in financial models is crucially dependent on the form of the drift and diffusion coefficient functions. A methodology is proposed for estimating and testing coefficient functions for ergodic diffusions that are not directly observable. It is based on semiparametric and nonparametric estimates. The testing is performed via the wild bootstrap resampling technique. The method is illustrated on S&P 500 index data. -- Identification, Bootstrap, Diffusion, Continuous-time financial models, Semiparametric methods, Kernel smoothing

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Year of publication:	2001
Authors:	Härdle, Wolfgang ; Kleinow, Torsten ; Korostelev, Aleksandr P. ; Logeay, Camille ; Platen, Eckhard
Institutions:	Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse (contributor)
Publisher:	Berlin : Humboldt-Universität
Subject:	Aktienindex \| Stock index \| Schätzung \| Estimation \| Theorie \| Theory \| Nichtparametrisches Verfahren \| Nonparametric statistics \| Zeitreihenanalyse \| Time series analysis \| Volatilität \| Volatility \| Börsenkurs \| Share price \| Bootstrap-Verfahren \| Bootstrap approach \| Stochastischer Prozess \| Stochastic process