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Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models

Marie, Nicolas - In: Finance and stochastics 27 (2023) 1, pp. 97-126

Persistent link: https://www.econbiz.de/10013489500

Kernel convergence estimates for diffusions with continuous coefficients

Albanese, Claudio - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 979-1004

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Inference for systems of stochastic differential equations from discretely sampled data : a numerical maximum likelihood approach

Lux, Thomas - In: Annals of finance 9 (2013) 2, pp. 217-248

Persistent link: https://www.econbiz.de/10009741196

Application of the generalized method of moments for estimating continuous-time models of U.S. short-term interest rates

Cserna, Balázs - 2008

We show by Monte Carlo simulations that the jackknife estimation of QUENOUILLE (1956) provides substantial bias reduction for the estimation of short-term interest rate models applied in CHAN ET AL. (1992) - hereafter CKLS (1992). We find that an alternative estimation based on NOWMAN (1997)...

Persistent link: https://www.econbiz.de/10003747325

Unbiased estimation with square root convergence for SDE models

Rhee, Chang-Han; Glynn, Peter W. - In: Operations research 63 (2015) 5, pp. 1026-1043

Persistent link: https://www.econbiz.de/10011397797

Adaptive LASSO-type estimation for ergodic diffusion processes

Iacus, Stefano Maria; De Gregorio, Alessandro - 2010

Persistent link: https://www.econbiz.de/10011752309

Kolmogorov backward equations with singular diffusion matrices

Singer, Hermann - 2019

Persistent link: https://www.econbiz.de/10012149431

A comparative study of likelihood approximations for univariate diffusions

Hurn, Stan; Lindsay, Kenneth A.; Xu, Lina - In: Journal of financial econometrics 21 (2023) 3, pp. 852-879

Persistent link: https://www.econbiz.de/10014314834