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Semiparametric diffusion estimation and application to a stock market index

Härdle, Wolfgang; Kleinow, Torsten; Korostelev, … - 2001

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...

Persistent link: https://www.econbiz.de/10009613611

Semiparametric diffusion estimation and application to a stock market index

Härdle, Wolfgang; Kleinow, Torsten; Korostelev, … - 2001

Persistent link: https://www.econbiz.de/10010310398

Estimation of support of a probability density and estimation of support functionals

Korostelev, Aleksandr P. - 1992

Persistent link: https://www.econbiz.de/10000839551

On estimation of monotone and convex boundaries

Korostelev, Aleksandr P. - In: Publications de l'Institut de Statistique de … 39 (1995) 1, pp. 3-18

Persistent link: https://www.econbiz.de/10001188690

Minimax linewise algorithm for image reconstruction

Korostelev, Aleksandr P. - 1992

Persistent link: https://www.econbiz.de/10000843850

Hazard rate models for early detection of reliability problems using information from warranty databases and upstream supply chain

Zhou, Chongwen; Chinnam, Ratna Babu; Korostelev, … - In: International journal of production economics 139 (2012) 1, pp. 180-195

Persistent link: https://www.econbiz.de/10009572687

Bayesian approach to hazard rate models for early detection of warranty and reliability problems using upstream supply chain information

Zhou, Chongwen; Chinnam, Ratna Babu; Dalkiran, Evrim; … - In: International journal of production economics 193 (2017), pp. 316-331

Persistent link: https://www.econbiz.de/10011758448

Optimal soft-order revisions under demand and supply uncertainty and upstream information

Baruah, Pundarikaksha; Chinnam, Ratna Babu; Korostelev, … - In: International journal of production economics 182 (2016), pp. 14-25

Persistent link: https://www.econbiz.de/10011621848

Testing the diffusion coefficient

Kleinow, Torsten - 2002

Persistent link: https://www.econbiz.de/10001684924

Testing the diffusion coefficient

Kleinow, Torsten - 2002

In mathematical finance diffusion models are widely used and a variety of different parametric models for the drift and diffusion coefficient coexist in the literature. Since derivative prices depend on the particular parametric model of the diffusion coefficient function of the underlying, a...

Persistent link: https://www.econbiz.de/10009622677